fix (pnl ui): Get cash per point from security

Previously, it was hardcoded to 1.

.devcontainer/Dockerfile

@@ -90,6 +90,12 @@ RUN apt-get update && apt-get install -y libpcap0.8-dev
 # Databento (deps)
 RUN apt-get update && apt-get -y install libzstd-dev
 
+# Docker in Docker
+RUN apt-get update && apt-get install -y \
+    docker.io \
+    docker-compose \
+    docker-compose-v2
+
 # Set up default executables (update-alternatives)
 RUN \
    update-alternatives --install /usr/bin/clang clang /usr/bin/clang-$clang_major 100; \

.devcontainer/devcontainer.json

@@ -12,17 +12,10 @@
   // example, if 8000-8003 is taken, go with 9000-9003, then 10000-10003, etc.
   "runArgs": [
     "--shm-size",
-    "8gb",
-    "-p",
-    "8000:8000",
-    "-p",
-    "8001:8001",
-    "-p",
-    "8002:8002",
-    "-p",
-    "8003:8003",
-    "-p",
-    "12345:12345"
+    "8gb"
+  ],
+  "mounts": [
+    "source=/var/run/docker.sock,target=/var/run/docker.sock,type=bind"
   ],
   "customizations": {
     "vscode": {

.env

@@ -0,0 +1,47 @@
+# This file defines the global default configuration for docker deployments.
+# It is tracked in source control. For temporary modifications, please create
+# a separate file called ".env.local" (it's in .gitignore, so won't be tracked).
+# If a variable is defined in both files, the value in .env.local will be used.
+#
+# About the deployment procedure:
+#   We use Docker Compose to build images and launch containers for various services
+#   that make up our software suite:
+#     - sparkd
+#     - TODO: pubsub
+#     - TODO: md-publisher
+#     - TODO: webapp (DSQA on the web)
+#     - TODO: api-server (websocket based)
+#   From inside a devcontainer, you can launch all services in separate containers
+#   on your machine by running:
+#
+#     tools/deploy.sh
+#
+#   This script builds release versions for each service, packaged (generally) in
+#   self-contained directories. Next, it runs a few "docker compose" commands to
+#   build docker images loaded with the self-contained binaries from the previous
+#   step, and start containers with those images to run each service. To view the
+#   commands that deploy.sh runs internally (without actually running them), run:
+#
+#     tools/deploy.sh --dry-run
+#
+#   For additional information/help, run:
+#
+#     tools/deploy.sh --help
+#
+
+### Sparkd ###
+# The internal image for sparkd to use. For more info, view:
+#   src/server/sparkd/Dockerfile
+SPARKD__IMAGE=sparkd
+# The config dir for this service to use
+SPARKD__CONFIG_DIR=src/server/sparkd/configurations/dev
+# Mount a specific volume or dir to "~/sparkdata/data" inside the docker.
+# Defaults to a volume named "sparkd_<config_port>" (e.g., sparkd_8000).
+# SPARKD__DATA_DIR=/home/bts/sparkdata/data
+SPARKD__SOURCE_DIR=install/sparkd-release-gcc
+SPARKD__CONFIG_PORT=8000
+SPARKD__QUICKBUS_PORT=8001
+SPARKD__SIM_FIX_PORT=8002
+SPARKD__SHM_SIZE=4gb
+
+# TODO: add config for other services (pubsub, md-publisher, webapp, api-server, etc.)

.gitignore

@@ -59,3 +59,4 @@ trace_data/
 .devcontainer/
 *.Generated.cs
 *.lst
+.env.local

.gitmodules

@@ -1,6 +1,6 @@
 [submodule "externals"]
 	path = externals
-	url = git@bitbucket.org:bluetradesys/externals.git
+	url = https://bitbucket.org/bluetradesys/externals.git
 [submodule "vcpkg"]
 	path = vcpkg
 	url = https://github.com/microsoft/vcpkg.git

CMakeLists.txt

@@ -1,8 +1,10 @@
 cmake_minimum_required(VERSION 3.12)
 project(spark)
 include(GNUInstallDirs)
+include(${CMAKE_SOURCE_DIR}/cmake/GitVersion.cmake)
 set(CMAKE_CXX_STANDARD 20)
 
+get_version_from_git()
 if(WIN32)
   set(platform "windows")
 else()

cmake/GitVersion.cmake

@@ -0,0 +1,48 @@
+include_guard(GLOBAL)
+
+function(get_version_from_git)
+  find_package(Git QUIET)
+  if(NOT Git_FOUND)
+    message(WARNING "Git not found")
+    return()
+  endif()
+
+  execute_process(
+    COMMAND ${GIT_EXECUTABLE} describe --tags --always
+    WORKING_DIRECTORY ${CMAKE_SOURCE_DIR}
+    OUTPUT_VARIABLE GIT_TAG
+    OUTPUT_STRIP_TRAILING_WHITESPACE
+    RESULT_VARIABLE GIT_RESULT
+  )
+
+  if(NOT GIT_RESULT EQUAL 0)
+    message(WARNING "Failed to get git tag")
+    return()
+  endif()
+
+  execute_process(
+    COMMAND ${GIT_EXECUTABLE} rev-parse --short=7 HEAD
+    WORKING_DIRECTORY ${CMAKE_SOURCE_DIR}
+    OUTPUT_VARIABLE GIT_COMMIT_SHORT_HASH
+    OUTPUT_STRIP_TRAILING_WHITESPACE
+  )
+  set(PROJECT_VERSION_BUILD_METADATA ${GIT_COMMIT_SHORT_HASH})
+  set(PROJECT_VERSION_BUILD_METADATA ${GIT_COMMIT_SHORT_HASH} PARENT_SCOPE)
+
+  string(REGEX REPLACE "^v" "" CLEAN_TAG "${GIT_TAG}")
+  if(CLEAN_TAG MATCHES "^([0-9]+)\\.([0-9]+)\\.([0-9]+)(-.*)?$")
+    set(PROJECT_VERSION_MAJOR ${CMAKE_MATCH_1})
+    set(PROJECT_VERSION_MAJOR ${CMAKE_MATCH_1} PARENT_SCOPE)
+    set(PROJECT_VERSION_MINOR ${CMAKE_MATCH_2})
+    set(PROJECT_VERSION_MINOR ${CMAKE_MATCH_2} PARENT_SCOPE)
+    set(PROJECT_VERSION_PATCH ${CMAKE_MATCH_3})
+    set(PROJECT_VERSION_PATCH ${CMAKE_MATCH_3} PARENT_SCOPE)
+
+    set(PROJECT_VERSION "${CMAKE_MATCH_1}.${CMAKE_MATCH_2}.${CMAKE_MATCH_3}") 
+    set(PROJECT_VERSION "${CMAKE_MATCH_1}.${CMAKE_MATCH_2}.${CMAKE_MATCH_3}" PARENT_SCOPE)
+    set(PROJECT_VERSION_FULL "${CMAKE_MATCH_1}.${CMAKE_MATCH_2}.${CMAKE_MATCH_3}+${GIT_COMMIT_SHORT_HASH}")
+    set(PROJECT_VERSION_FULL "${CMAKE_MATCH_1}.${CMAKE_MATCH_2}.${CMAKE_MATCH_3}+${GIT_COMMIT_SHORT_HASH}" PARENT_SCOPE)
+  else()
+    message(WARNING "Tag '${CLEAN_TAG}' does not match semver format")
+  endif()
+endfunction()

cmake/version.h.in

@@ -0,0 +1,11 @@
+#ifndef BTS_SPARK_VERSION_H
+#define BTS_SPARK_VERSION_H
+
+#define BTS_SPARK_VERSION_MAJOR @PROJECT_VERSION_MAJOR@
+#define BTS_SPARK_VERSION_MINOR @PROJECT_VERSION_MINOR@
+#define BTS_SPARK_VERSION_PATCH @PROJECT_VERSION_PATCH@
+#define BTS_SPARK_VERSION_BUILD_METADATA @PROJECT_VERSION_BUILD_METADATA@
+#define BTS_SPARK_VERSION "@PROJECT_VERSION@"
+#define BTS_SPARK_VERSION_FULL "@PROJECT_VERSION_FULL@"
+
+#endif

compose.yaml

@@ -0,0 +1,63 @@
+services:
+  sparkd:
+    volumes:
+      - ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/sparkdata/data
+    build:
+      dockerfile: src/server/sparkd/Dockerfile
+      args:
+        - IMAGE=${SPARKD__IMAGE}
+        - SOURCE_DIR=${SPARKD__SOURCE_DIR}
+        - CONFIG_DIR=${SPARKD__CONFIG_DIR}
+    shm_size: "${SPARKD__SHM_SIZE:-512mb}"
+    command: >
+      sh -c "
+        echo bts | sudo -S chown -R bts:bts /home/bts/sparkdata/data
+        if [ -e "/home/bts/sparkdata/data/logging.sparkd/log" ]; then
+          mv "/home/bts/sparkdata/data/logging.sparkd/log" "/home/bts/sparkdata/data/logging.sparkd/log_$(date '+%Y%m%d-%H%M')"
+        fi
+        if [ -e "/home/bts/sparkdata/conf/.env.local" ]; then
+          echo 'Sourcing /home/bts/sparkdata/conf/.env.local'
+          set -a
+          . /home/bts/sparkdata/conf/.env.local
+          set +a
+        fi
+        ./sparkd run"
+    env_file:
+      - .env
+      - ${SPARKD__CONFIG_DIR}/.env
+    ports:
+      - "${SPARKD__CONFIG_PORT}:${SPARKD__CONFIG_PORT}"
+      - "${SPARKD__QUICKBUS_PORT}:${SPARKD__QUICKBUS_PORT}"
+      - "${SPARKD__SIM_FIX_PORT}:${SPARKD__SIM_FIX_PORT}"
+    deploy:
+      resources:
+        limits:
+          memory: "${SPARKD__MEMORY:-4gb}"
+
+  sparkd-tail:
+    image: bluetradingsystems/linux_dotnet7
+    volumes:
+      - type: volume
+        read_only: true
+        source: sparkd_data
+        target: /home/bts/sparkdata/data/logging.sparkd
+        volume:
+          subpath: logging.sparkd
+    command: ["tail", "-f", "/home/bts/sparkdata/data/logging.sparkd/log"]
+
+  sparkd-ping-test:
+    depends_on:
+      - sparkd
+    profiles:
+      - ping-test
+    build:
+      context: .
+      dockerfile_inline: |
+        FROM bluetradingsystems/linux_dotnet7
+        USER "root"
+        RUN apt-get update && apt-get -y install iputils-ping
+    command: [ "ping", "sparkd" ]
+
+volumes:
+  sparkd_data:
+    name: "sparkd_${SPARKD__CONFIG_PORT:-8000}"

docker/images/bluetradingsystems/linux_dotnet7/Dockerfile

@@ -0,0 +1,38 @@
+FROM ubuntu:22.04
+
+ARG DEBIAN_FRONTEND=noninteractive
+
+RUN apt-get update && apt-get install -y pkg-config
+RUN apt-get update && apt-get install -y locales
+RUN apt-get update && apt-get install -y ca-certificates
+RUN apt-get update && apt-get install -y libssh2-1-dev
+RUN apt-get update && apt-get install -y software-properties-common
+RUN apt-get update && apt-get install -y sudo
+
+# GCC
+ARG gcc_major=13
+RUN add-apt-repository ppa:ubuntu-toolchain-r/test \
+  && apt-get update \
+  && apt-get install -y g++-$gcc_major
+
+RUN apt-get update \
+  && apt-get install -y dotnet7
+
+RUN locale-gen en_US.UTF-8
+
+ARG docker_user="bts"
+ARG docker_uid="1000"
+ARG docker_pass="bts"
+
+RUN \
+  groupadd -g "$docker_uid" "$docker_user" \
+  && useradd \
+  -m \
+  -u "$docker_uid" \
+  -g "$docker_uid" \
+  -G sudo \
+  --password "$(openssl passwd -1 "$docker_pass")" \
+  "$docker_user"
+
+USER bts
+WORKDIR /home/bts

requirements.txt

@@ -1,11 +1,20 @@
 astroid==2.7.3
 autopep8==1.5.7
+blinker==1.9.0
+boto3==1.37.9
+botocore==1.37.9
 certifi==2023.5.7
 charset-normalizer==3.1.0
+click==8.1.8
 colorama==0.4.4
+Flask==3.1.0
 idna==3.4
 isort==5.9.3
+itsdangerous==2.2.0
+Jinja2==3.1.6
+jmespath==1.0.1
 lazy-object-proxy==1.6.0
+MarkupSafe==3.0.2
 mccabe==0.6.1
 platformdirs==2.3.0
 protobuf==4.21.12
@@ -14,9 +23,14 @@ pycodestyle==2.7.0
 pycparser==2.20
 pylint==2.10.2
 PyMeta3==0.5.1
+python-dateutil==2.9.0.post0
+python-dotenv==1.0.1
 requests==2.31.0
+s3transfer==0.11.4
+six==1.17.0
 termcolor==1.1.0
 toml==0.10.2
 urllib3==2.0.3
+Werkzeug==3.1.3
 wrapt==1.12.1
 yapf==0.31.0

src/client/spark/AW2/Misc/SecurityNormalizer.cs

@@ -1,6 +1,8 @@
 namespace mbts.spark {
    using bts.api;
 
+   using Spark.Api.Data;
+
    using System;
    using System.Collections.Generic;
    using System.Linq;
@@ -23,14 +25,14 @@ namespace mbts.spark {
          foreach (var kv in driver_map.get_price_map()) {
             var exp = kv.Key;
             var dmd = kv.Value;
-            IEnumerable<SecurityMD> exp_secs = sc_data.get_securities(
-               (sec_md) => {
-                  var s = sec_md.security;
-                  return s.security_type() == SecurityType.Option &&
-                        s.Symbol == driver_map.option_symbol &&
-                        s.earliest_expiration() == exp.expiration;
-               }
-            );
+            IEnumerable<SecurityMD> exp_secs = sc_data.get_securities((sec_md) => {
+               var s = sec_md.security;
+               return s.security_type() == SecurityType.Option &&
+                     s.Symbol == driver_map.option_symbol &&
+                     s.earliest_expiration() == (Security.is_perpetual_exp(exp.expiration)
+                        ? ExpirationDate.Perpetual
+                        : ExpirationDate.FixedDate(exp.expiration));
+            });
             foreach (var sec_md in exp_secs) {
                rv[sec_md.security.Id] = kv.Value;
             }

src/client/spark/AW2/Misc/SystemContractData.cs

@@ -69,7 +69,7 @@ namespace mbts.spark {
                   case SecurityType.Future:
                   case SecurityType.Option:
                      rv.GetOrAdd((sec.Exchange, sec.security_type(), sec.Symbol), _ => new())
-                        .Add(sec.earliest_expiration());
+                        .Add(sec.earliest_expiration().Value);
                      break;
                }
             }

src/client/spark/Model/Trading/PositionModel.cs

@@ -11,8 +11,9 @@ namespace Spark.Trading {
 
    using mbts.analytics;
    using mbts.spark;
-   using mbts.ui;
 
+   using Spark.Api.Data;
+   using Spark.Api.MarketData;
    using Spark.Api.Orders;
    using Spark.Api.Reactive;
    using Spark.Core;
@@ -81,6 +82,11 @@ namespace Spark.Trading {
          pnl = bus.subscribe(SparkTags.ReportBlackboardTags.PNL.PNLData)
             .Select(d => d.position_data.ToDictionary(u => u.id(), PNLRowData.from_pnl_unit))
             .Table(PNLRowData.key_fn)
+            .JoinBbo(
+               bus.subscribe(SparkTags.SecuritiesTag),
+               pnlRow => pnlRow.key.security_id,
+               (pnlRow, bbo) => pnlRow.with(bid_price: bbo.BidPrice, ask_price: bbo.AskPrice),
+               PNLRowData.key_fn)
             .FullJoin(
                order_data.working_account_security_orders,
                PNLRowData.key_fn,

src/client/spark/Modules/Market/MarketView/MarketViewVM.cs

@@ -629,16 +629,16 @@ namespace mbts.spark {
 
       static (string desc, Color fg) _fills_title(ColKey key) =>
          key switch {
-            ColKey.Position => ("Day Fills", Colors.Black),
-            ColKey.RawDayPosition => ("Raw Day Fills", Colors.Black),
-            _ => ("Fills", Colors.Black),
+            ColKey.Position => ("Day Fills", BTSColors.DayFills.foreground),
+            ColKey.RawDayPosition => ("Raw Day Fills", BTSColors.DayFills.foreground),
+            _ => ("Fills", BTSColors.UI.default_text),
          };
 
       static (string desc, Color fg) _orderbook_title(ColKey key) =>
          key switch {
             ColKey.WorkingBids => ((string desc, Color fg))("Working Buy Orders", BTSColors.MarketData.bid),
             ColKey.WorkingAsks => ((string desc, Color fg))("Working Sell Orders", BTSColors.MarketData.ask),
-            _ => ("Working Orders", Colors.Black),
+            _ => ("Working Orders", BTSColors.UI.default_text),
          };
 
       static GridSettings _hide_cols(GridSettings grid, IEnumerable<OrderBookGridView.ColumnKeys> columns) =>

src/client/spark/Modules/Trading/Fills/Settings/FillsFilterStates.cs

@@ -8,6 +8,7 @@ using mbts.ui.controls;
 
 using ProtoBuf;
 
+using Spark.Api.Data;
 using Spark.Api.Orders;
 
 using System;
@@ -91,7 +92,7 @@ namespace bts.shell.fills {
 
       // PNL's Expiration group popups use this prop to filtered data by a particular exp (it isn't
       // serialized bc it's not part of the main window's settings)
-      public DateTime? exp_date { get; set; }
+      public ExpirationDate? exp_date { get; set; }
    }
 
    static class FillsFilterStatesExtensions {
@@ -121,7 +122,7 @@ namespace bts.shell.fills {
          pb.add_numeric(fs.price, ft => ft.fill.LastPrice);
 
          if (fs.exp_date.HasValue) {
-            pb.add_date_time(fs.exp_date.Value, f => f.security?.earliest_expiration());
+            pb.add_exp_date(fs.exp_date.Value, f => f.security?.earliest_expiration());
          }
          return pb.to_predicate();
       }

src/client/spark/Modules/Trading/Ladder/VM/LadderVM.cs

@@ -277,9 +277,7 @@ namespace mbts.spark {
          var orders_source = settings.Select(s => s.ticks_per_row).DistinctUntilChanged()
             .SelectSeries(tpr => {
                var spec = TickUtils.multiply_tick_size(security.regional_ticks(), tpr);
-               var price_comp = Comparer<double>.Create((a, b) =>
-                  Comparer<long?>.Default.Compare(spec.count_ticks(a), spec.count_ticks(b)));
-               return _order_price_source(model.orders, price_comp, p => spec.round_to_tick(p, RoundingMode.AbsDown));
+               return _order_price_source(model.orders, p => spec.round_to_tick(p, RoundingMode.AbsDown));
             });
          _day_change.Changed += (o, n) => RaisePropertyChanged(
             nameof(day_change_font_color), nameof(day_change_background_color));
@@ -806,10 +804,8 @@ namespace mbts.spark {
       }
 
       static IObservable<(ImmutableSortedDictionary<double, ImmutableDictionary<uint, OrderRecordTuple>> price_index, IReadOnlyDictionary<uint, OrderRecordTuple> map)> _order_price_source(
-         IObservable<TableUpdate<OrderRecordTuple, uint>> source,
-         IComparer<double> price_comp,
-         Func<double, double> normalize_price
-      ) {
+         IObservable<TableUpdate<OrderRecordTuple, uint>> source, Func<double, double> normalize_price) {
+         var price_comp = MathUtils.error_margin_comparer(1E-9);
          return Observable.Create<(ImmutableSortedDictionary<double, ImmutableDictionary<uint, OrderRecordTuple>>, IReadOnlyDictionary<uint, OrderRecordTuple>)>(o => {
             var state = ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, OrderRecordTuple>>(price_comp);
             var sub = source.Subscribe(table => {
@@ -853,15 +849,18 @@ namespace mbts.spark {
             return sub;
          });
 
-         bool price_changed(Change<OrderRecordTuple> ch) =>
-            price_comp.Compare(ch.New.order.ui_price(), ch.Old.order.ui_price()) != 0;
-
          double get_price(OrderRecordTuple order) {
             var p = order.order.ui_price();
             if (!(normalize_price is null))
                p = normalize_price(p);
             return p;
          }
+
+         bool price_changed(Change<OrderRecordTuple> ch) {
+            var oldp = get_price(ch.Old);
+            var newp = get_price(ch.New);
+            return price_comp.Compare(oldp, newp) != 0;
+         }
       }
 
       double _normalize_price(double price) =>

src/client/spark/Modules/Trading/Ladder/View/LadderGridHost.cs

@@ -626,10 +626,30 @@ namespace mbts.spark {
 
       void _send_parameterized_order(Point point, Side side) {
          Disposable.dispose(ref _parameterized_order_popup);
-         if (side == Side.Undefined)
-            throw new ArgumentException("Side is undefined.", nameof(side));
-         if (!(_vm.size_calculator.value is double size) || size == 0 || !(_vm.order_properties_vm?.selected_algo_definition?.algo_root?.can_expand ?? false))
+         void on_cannot_send(string reason) {
+            Log.Ui.warn($"LadderGridHost cannot send parameterized order. {reason}");
+         }
+         if (_vm is null) {
+            on_cannot_send("ViewModel is null");
             return;
+         }
+         switch (side) {
+            case Side.Buy:
+            case Side.Sell:
+               break;
+            default:
+               on_cannot_send($"Invalid side '{side}'");
+               return;
+         }
+         double size = _vm?.size_calculator?.value ?? 0;
+         if (size > 0) {
+            return;
+         }
+         bool can_expand = _vm?.order_properties_vm?.selected_algo_definition?.algo_root?.can_expand ?? false;
+         if (!can_expand) {
+            on_cannot_send("Selected algo not parameterized");
+            return;
+         }
          double price = _price_for_row(_row_for_point(point));
          var grid = new Grid { DataContext = _vm };
          grid.RowDefinitions.Add(new RowDefinition { Height = new GridLength(1, GridUnitType.Star) });
@@ -701,6 +721,10 @@ namespace mbts.spark {
       }
 
       async Task _show_mbo_popup(Point point) {
+         if (_vm is null) {
+            Log.Ui.warn("Cannot show mbo popup. ViewModel is null.");
+            return;
+         }
          var query = MBOPopupModel.default_query.with(
             security_id: _vm.model.security.Id,
             price_level: price_for_point(point)
@@ -1424,7 +1448,7 @@ namespace mbts.spark {
          double best_ask = _get_top_price(_asks);
          var v = best_bid
             .if_nan(_spec.tickdown(best_ask))
-            .if_nan(_vm.settlement);
+            .if_nan(_vm?.settlement ?? double.NaN);
          return _spec.round_to_tick(v, RoundingMode.AbsDown);
       }
 
@@ -1432,11 +1456,14 @@ namespace mbts.spark {
          TickUtils.normalize_price(_spec, price);
 
       double _get_ask_market_break() {
+         if (_vm is null) {
+            return double.NaN;
+         }
          double best_bid = _get_top_price(_bids);
          double best_ask = _get_top_price(_asks);
          var v = _spec.tickdown(best_ask)
             .if_nan(best_bid)
-            .if_nan(_vm.settlement);
+            .if_nan(_vm?.settlement ?? double.NaN);
          return _spec.round_to_tick(v, RoundingMode.AbsDown);
       }
 
@@ -1446,15 +1473,15 @@ namespace mbts.spark {
          var v = TickUtils.mid_tick(_spec, best_bid, best_ask)
             .if_nan(best_bid)
             .if_nan(_spec?.tickdown(best_ask) ?? double.NaN)
-            .if_nan(_vm.settlement);
+            .if_nan(_vm?.settlement ?? double.NaN);
          return _spec.round_to_tick(v, RoundingMode.AbsDown);
       }
 
       double _get_session_low() => _normalize_price(_get_session_low_raw());
       double _get_session_high() => _normalize_price(_get_session_high_raw());
 
-      double _get_session_low_raw() => _vm.md.session_low;
-      double _get_session_high_raw() => _vm.md.session_high;
+      double _get_session_low_raw() => _vm?.md?.session_low ?? double.NaN;
+      double _get_session_high_raw() => _vm?.md?.session_high ?? double.NaN;
 
       void _render_mkt_break(DrawingVisual vis, double price, uint color) =>
          LadderRender.render_mkt_break(vis, _row_for_price(price), _settings.row_height, color);
@@ -1475,7 +1502,7 @@ namespace mbts.spark {
          }
          /// The viewmodel will always have the most up-to-date settings, so ignore <see cref="s"/> and just get it from <see cref="_vm"/>.
          /// This is a workaround for the global settings-defaults issue: when defaults are updated, some properties are inadvertantly overwritten, such as column-widths, etc.
-         _settings = _vm.get_save_state();
+         _settings = _vm?.get_save_state() ?? s;
          _pending_scroll_to_origin |= _settings == null;
          _invalidate_spec();
          if (_price_list != null) {
@@ -1551,15 +1578,17 @@ namespace mbts.spark {
          _visual_host.AddVisualChild(_mid_mkt_break_vis);
          _visual_host.AddVisualChild(_ask_mkt_break_vis);
          _visual_host.AddVisualChild(_bid_mkt_break_vis);
-         _fair_value_lines_sub = ui.utility.ObservableAutoWrapper.connect(
-            _vm.fair_value_lines,
-            _mkt_break_lines.fair_value_line_views,
-            vm => {
-               var with_vis = new FairValueLineWithVis(vm);
-               _visual_host.AddVisualChild(with_vis.vis);
-               return with_vis;
-            },
-            with_vis => _visual_host.RemoveVisualChild(with_vis.vis));
+         if (_vm is not null) {
+            _fair_value_lines_sub = ui.utility.ObservableAutoWrapper.connect(
+               _vm.fair_value_lines,
+               _mkt_break_lines.fair_value_line_views,
+               vm => {
+                  var with_vis = new FairValueLineWithVis(vm);
+                  _visual_host.AddVisualChild(with_vis.vis);
+                  return with_vis;
+               },
+               with_vis => _visual_host.RemoveVisualChild(with_vis.vis));
+         }
          _visual_host.AddVisualChild(_session_low_vis);
          _visual_host.AddVisualChild(_session_high_vis);
          _render_grid_background();

src/client/spark/Modules/Trading/ManualFills/ManualFillRow.cs

@@ -5,6 +5,7 @@ using mbts.spark;
 using mbts.ui;
 using mbts.ui.shell;
 
+using Spark.Api.Data;
 using Spark.Core.Data;
 using Spark.Core.Disposables;
 using Spark.Core.Reflection;

src/client/spark/Modules/Trading/OrderBook/OrderBookRowVM.cs

@@ -8,6 +8,7 @@ using bts.utils;
 using mbts.ui;
 using mbts.ui.controls;
 
+using Spark.Api.Data;
 using Spark.Api.Orders;
 using Spark.Core.Collections;
 using Spark.ViewModel.Commands;

src/client/spark/Modules/Trading/OrderBook/Settings/OrderBookFilterStates.cs

@@ -150,7 +150,11 @@ namespace bts.shell.orderbook {
          pb.add_discrete_values(fs.exchanges, o => o.order.security?.Exchange ?? Venue.Unset);
          pb.add_discrete_values(fs.tifs, o => o.order.order.time_in_force());
          pb.add_discrete_values(fs.order_types, o => AlgoID.from_custom_def(o.order.order.Def.CustomDef));
-         pb.add_discrete_values(fs.root_algo_types, o => AlgoID.from_algo_key(o.root.algo?.key ?? default));
+         pb.add_discrete_values(
+            Array.ConvertAll(fs.root_algo_types, a => (AlgoID?)a),
+            o => o.root.algo.HasValue
+               ? AlgoID.from_algo_key(o.root.algo.Value.key)
+               : null);
          pb.add_discrete_values(fs.order_sub_types, o => o.order.order.sub_type());
          pb.add_discrete_values(fs.sides, o => o.order.order.side());
          pb.add_discrete_values(fs.statuses, o => o.order.order.status());

src/client/spark/Modules/Trading/PNL/Data/PNLData.cs

@@ -1,527 +1,317 @@
-using bts.api;
-using bts.api.orderman;
-using bts.api.position;
-using bts.utils;
-
-using mbts;
-using mbts.analytics;
-using mbts.spark;
-using mbts.spark.utilities;
-using mbts.ui;
-using mbts.utils;
-
-using Spark.Api.Orders;
-using Spark.Api.Position;
-
-using System;
-using System.Collections.Generic;
-using System.Collections.Immutable;
-using System.ComponentModel;
-using System.Linq;
-
-using PNLKey = bts.AccountSecurityKey;
-
-namespace bts.shell.pnl {
-   public enum PNLCalculationType {
-      None,
-      Bid,
-      Ask,
-      Opposite,
-      Same,
-      [Description("Cascade")]
-      Waterfall,
-      Last,
-      Mid,
-      Settle
-   }
-
-   readonly struct WorkingOrderData {
-      public readonly WorkingOrderSideData long_data, short_data;
-
-      WorkingOrderData(WorkingOrderSideData long_data, WorkingOrderSideData short_data) {
-         this.long_data = long_data;
-         this.short_data = short_data;
-      }
-
-      public static WorkingOrderData Empty =>
-         new WorkingOrderData(WorkingOrderSideData.EmptyLong, WorkingOrderSideData.EmptyShort);
-
-      public double top_bid =>
-         long_data.data.Count > 0 ?
-            long_data.data.First().Key :
-            double.NaN;
-
-      public double top_ask =>
-         short_data.data.Count > 0 ?
-            short_data.data.First().Key :
-            double.NaN;
-
-      public PositionPriceSize summary =>
-         new PositionPriceSize(long_data.working_total, long_data.avg_price, short_data.working_total, short_data.avg_price);
-
-      public static WorkingOrderData Create(
-         IEnumerable<OrderRecordImmutable> orders, QuantityConversionData<double> qty_conversion) =>
-         Create(orders.Select(o => (o, qty_conversion)));
-
-      public static WorkingOrderData Create(
-         IEnumerable<(OrderRecordImmutable order, QuantityConversionData<double> qty_conversion)> orders) =>
-         orders.Aggregate(Empty, (seed, tup) => seed.Add(tup.order, tup.qty_conversion));
-
-      public WorkingOrderData Add(OrderRecordImmutable order, QuantityConversionData<double> qty_conversion) {
-         if (order.working_quantity() <= 0)
-            return new WorkingOrderData(long_data, short_data);
-         switch (order.side()) {
-            case Side.Buy: return new WorkingOrderData(long_data.Add(order, qty_conversion), short_data);
-            case Side.Sell: return new WorkingOrderData(long_data, short_data.Add(order, qty_conversion));
-            default: throw ExceptionBuilder.Argument.unexpected_case(order.side(), "order.side");
-         }
-      }
-
-      public WorkingOrderData Remove(OrderRecordImmutable order) {
-         if (order.working_quantity() <= 0)
-            return new WorkingOrderData(long_data, short_data);
-         switch (order.side()) {
-            case Side.Buy: return new WorkingOrderData(long_data.Remove(order.Key, order.price()), short_data);
-            case Side.Sell: return new WorkingOrderData(long_data, short_data.Remove(order.Key, order.price()));
-            default: throw ExceptionBuilder.Argument.unexpected_case(order.side(), "order.side");
-         }
-      }
-   }
-
-   readonly struct WorkingOrderSideData {
-      public readonly double avg_price, display_avg_price;
-      public readonly ImmutableSortedDictionary<double, ImmutableDictionary<uint, (OrderRecordImmutable order, QuantityConversionData<double> qty_conversion)>> data;
-      public readonly double working_total;
-      public readonly double display_working_total;
-
-      WorkingOrderSideData(
-         double avg_price,
-         double working_total,
-         double display_avg_price,
-         double display_working_total,
-         ImmutableSortedDictionary<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>> data
-      ) {
-         this.avg_price = avg_price;
-         this.working_total = working_total;
-         this.display_avg_price = display_avg_price;
-         this.data = data;
-         this.display_working_total = display_working_total;
-      }
-
-      public static WorkingOrderSideData EmptyLong => new(
-         double.NaN, 0, double.NaN, 0,
-         ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>>(
-            new ReverseComparer<double>(new OrderPriceComparer())));
-
-      public static WorkingOrderSideData EmptyShort => new(
-         double.NaN, 0, double.NaN, 0,
-         ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>>(
-            new OrderPriceComparer()));
-
-      public double top_price =>
-         data.Count > 0 ?
-            data.First().Key :
-            double.NaN;
-
-      public double top_volume =>
-         data.Count > 0 ?
-            data.Values.First().Values.Sum(o => o.order.working_quantity()) :
-            0;
-
-      public double display_top_volume =>
-         data.Count > 0 ?
-            data.Values.First().Values.Sum(o => o.qty_conversion
-               .convert_numeric_type<double>()
-               .to_display(o.order.working_quantity())) :
-            0;
-
-      public WorkingOrderSideData Add(OrderRecordImmutable order_record) =>
-         Add(order_record, new());
-
-      public WorkingOrderSideData Add(
-         OrderRecordImmutable order_record, QuantityConversionData<double> qty_conversion) {
-         var working_qty = order_record.working_quantity();
-         if (working_qty <= 0)
-            throw new ArgumentException(nameof(working_qty));
-         uint order = order_record.Key;
-         var dworking_qty = qty_conversion.to_display(working_qty);
-         double price = order_record.price();
-         if (working_total == 0) {
-            Log.assert(display_working_total == 0);
-            return new WorkingOrderSideData(price, working_qty, display_avg_price, dworking_qty, data.Add(
-               price, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>.Empty.Add(order, (order_record, qty_conversion))));
-         } else return new WorkingOrderSideData(
-              avg_price + ((price - avg_price) * ((double)working_qty / (working_total + working_qty))),
-              working_total + working_qty,
-              display_avg_price + ((price - display_avg_price) * ((double)dworking_qty / (display_working_total + dworking_qty))),
-              display_working_total + dworking_qty,
-              data.SetItem(price, data.TryGetValue(price, out var curr) ?
-                 curr.Add(order, (order_record, qty_conversion)) :
-                 ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>.Empty.Add(order, (order_record, qty_conversion))));
-      }
-
-      public WorkingOrderSideData Remove(uint order, double price) {
-         var tmp_data = data;
-         if (!tmp_data.TryGetValue(price, out var wdata))
-            throw new KeyNotFoundException(nameof(price));
-         if (!wdata.TryGetValue(order, out var worder))
-            throw new KeyNotFoundException(nameof(order));
-         var wqty = worder.order.working_quantity();
-         var dwqty = worder.qty_conversion.to_display(wqty);
-         wdata = wdata.Remove(order);
-         if (wdata.Count == 0)
-            tmp_data = tmp_data.Remove(price);
-         if (tmp_data.Count == 0)
-            return new(
-               double.NaN, 0, double.NaN, 0,
-               ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>>(
-                  data.KeyComparer));
-         return new(
-            avg_price - ((price - avg_price) * (wqty / (working_total - wqty))),
-            working_total - wqty,
-            display_avg_price - ((price - display_avg_price) * (dwqty / (display_working_total - dwqty))),
-            display_working_total - dwqty,
-            tmp_data);
-      }
-
-      public override string ToString() {
-         if (data.Count > 0) {
-            var best_order = data.Values.First().Values.First();
-            return OrderUtils.order_collection_summary(
-               best_order.order.price(),
-               display_avg_price,
-               best_order.qty_conversion.to_display(best_order.order.working_quantity()),
-               display_working_total,
-               Security.Defaults.ContractSpecificationImmutable);
-         }
-         return string.Empty;
-      }
-   }
-
-   readonly struct PNLRowData : IEquatable<PNLRowData> {
-      public static readonly Func<PNLRowData, PNLKey> key_fn = d => d.key;
-      public static IComparer<PNLRowData> key_comparer = Comparer<PNLKey>.Default.wrap<PNLKey, PNLRowData>(d => d.key);
-
-      static readonly WaterfallPriceFlags[] _waterfall_preferences = new[] {
-         WaterfallPriceFlags.LastInsideSpread,
-         WaterfallPriceFlags.Mid,
-         WaterfallPriceFlags.LastGTEBid,
-         WaterfallPriceFlags.Bid,
-         WaterfallPriceFlags.LastLTEAsk,
-         WaterfallPriceFlags.Ask,
-         WaterfallPriceFlags.Last,
-         WaterfallPriceFlags.Settle
-      };
-
-      public readonly PNLKey key;
-      public readonly SecurityImmutable? security;
-      public readonly QuantityConversionData<double> qty_conversion;
-      public readonly uint account_id;
-      public readonly string account_name;
-      public readonly PNLCalculationType calc_type;
-      public readonly PositionPriceSizeWithGreeks sod;
-      public readonly PositionPriceSizeWithGreeks day;
-      public readonly WorkingOrderData working;
-
-      public readonly double
-         default_cpp,
-         bid_price,
-         ask_price,
-         last_price,
-         settlement_price;
-
-      public readonly double? override_cpp;
-
-      public PNLRowData(
-         PNLKey key,
-         double default_cpp = 1,
-         double? override_cpp = null,
-         double pnl_price = double.NaN,
-         double bid_price = 0,
-         double ask_price = 0,
-         double last_price = 0,
-         double settlement_price = 0,
-         double sod_pnl = 0,
-         PositionPriceSizeWithGreeks? sod = null,
-         double day_pnl = 0,
-         PositionPriceSizeWithGreeks? day = null,
-         WorkingOrderData? working = null,
-         SecurityImmutable? security = null,
-         uint account_id = 0,
-         string account_name = null,
-         PNLCalculationType calc_type = PNLCalculationType.Mid,
-         QuantityConversionData<double>? qty_conversion = null) {
-         //
-         this.key = key;
-         this.default_cpp = default_cpp;
-         this.override_cpp = override_cpp;
-         this.pnl_price = pnl_price;
-         this.bid_price = bid_price;
-         this.ask_price = ask_price;
-         this.last_price = last_price;
-         this.settlement_price = settlement_price;
-         this.sod_pnl = sod_pnl;
-         this.sod = sod ?? PositionPriceSizeWithGreeks.empty;
-         this.day_pnl = day_pnl;
-         this.day = day ?? PositionPriceSizeWithGreeks.empty;
-         this.working = working ?? WorkingOrderData.Empty;
-         this.security = security;
-         this.account_id = account_id;
-         this.account_name = account_name;
-         this.calc_type = calc_type;
-         this.qty_conversion = qty_conversion ?? new();
-      }
-
-      [Flags]
-      enum WaterfallPriceFlags {
-         None = 0,
-         Bid = 1,
-         Ask = 1 << 1,
-         Last = 1 << 2,
-         Settle = 1 << 3,
-         Mid = Bid | Ask,
-         LastGTEBid = Bid | Last | 1 << 4,
-         LastLTEAsk = Ask | Last | 1 << 5,
-         LastInsideSpread = LastGTEBid | LastLTEAsk,
-         BidGTESettle = Bid | Settle | 1 << 6,
-         AskLTESettle = Ask | Settle | 1 << 7
-      }
-
-      public AccountTuple account => new(account_id, account_name);
-      public string symbol => security?.pnl_symbol() ?? string.Empty;
-      public DateTime expiration =>
-         security?.normal_expirations()?.MinOrDefault(DateTime.MinValue) ?? DateTime.MinValue;
-      public double effective_cpp => override_cpp ?? default_cpp;
-
-      /// Market/Calc
-      public double mid_price => (bid_price + ask_price) / 2;
-      public double pnl_price { get; }
-
-      /// Sod
-      public double sod_pnl { get; }
-      public double sod_long_pos => sod.long_pos;
-      public double sod_long_avg_price => sod.long_avg;
-      public double sod_short_pos => sod.short_pos;
-      public double sod_short_avg_price => sod.short_avg;
-      public double sod_net_pos => sod.net_pos;
-      public double sod_net_avg_price => sod.net_avg;
-      public double sod_delta => sod.delta;
-      public double sod_gamma => sod.gamma;
-      public double sod_vega => sod.vega;
-      public double sod_theta => sod.theta;
-      public double display_sod_net_pos => qty_conversion.to_display(sod_net_pos);
-      public double display_sod_long_pos => qty_conversion.to_display(sod_long_pos);
-      public double display_sod_short_pos => qty_conversion.to_display(sod_short_pos);
-
-      /// Day
-      public double day_pnl { get; }
-      public double day_long_pos => day.long_pos;
-      public double day_long_avg_price => day.long_avg;
-      public double day_short_pos => day.short_pos;
-      public double day_short_avg_price => day.short_avg;
-      public double day_delta => day.delta;
-      public double day_gamma => day.gamma;
-      public double day_vega => day.vega;
-      public double day_theta => day.theta;
-      public bool has_day_trades => day.long_pos > 0 || day.short_pos > 0;
-      public double day_net_pos => day.net_pos;
-      public double day_net_avg => day.net_avg;
-      public double display_day_net_pos => qty_conversion.to_display(day_net_pos);
-      public double display_day_long_pos => qty_conversion.to_display(day_long_pos);
-      public double display_day_short_pos => qty_conversion.to_display(day_short_pos);
-
-      /// Total
-      public double total_pnl => new[] { sod_pnl, day_pnl }.sum_real();
-      public double total_long_pos => new[] { sod.long_pos, day.long_pos }.sum_real();
-      public double total_long_avg_price =>
-         MathUtils.weighted_average(
-            sod_long_avg_price.if_nan(0),
-            sod_long_pos.if_nan(0),
-            day_long_avg_price.if_nan(0),
-            day_long_pos.if_nan(0));
-      public double total_short_pos => new[] { sod.short_pos, day.short_pos }.sum_real();
-      public double total_short_avg_price =>
-         MathUtils.weighted_average(
-            sod_short_avg_price.if_nan(0),
-            sod_short_pos.if_nan(0),
-            day_short_avg_price.if_nan(0),
-            day_short_pos.if_nan(0));
-      public double total_net_pos => new[] { sod.long_pos, -sod.short_pos, day.long_pos, -day.short_pos }.Where(n => n.is_real()).Sum();
-      public double total_delta => sod.delta.add_real(day.delta);
-      public double total_gamma => sod.gamma.add_real(day.gamma);
-      public double total_vega => sod.vega.add_real(day.vega);
-      public double total_theta => sod.theta.add_real(day.theta);
-      public double display_total_net_pos => qty_conversion.to_display(total_net_pos);
-      public double display_total_long_pos => qty_conversion.to_display(total_long_pos);
-      public double display_total_short_pos => qty_conversion.to_display(total_short_pos);
-
-      /// Working
-      public double working_long_pos => working.long_data.working_total;
-      public double working_long_avg_price => effective_cpp * working.long_data.avg_price;
-      public double working_long_top_price => effective_cpp * working.long_data.top_price;
-      public double working_short_pos => working.short_data.working_total;
-      public double working_short_avg_price => effective_cpp * working.short_data.avg_price;
-      public double working_short_top_price => effective_cpp * working.short_data.top_price;
-      public double working_net_pos => working_long_pos - working_short_pos;
-      public double display_working_net_pos => qty_conversion.to_display(working_net_pos);
-      public double display_working_long_pos => qty_conversion.to_display(working_long_pos);
-      public double display_working_short_pos => qty_conversion.to_display(working_short_pos);
-
-      public static PNLRowData from_pnl_unit(IPNLUnit u) =>
-         new(
-            u.id(),
-            default_cpp: 1.0,
-            override_cpp: null,
-            pnl_price: u.theo,
-            bid_price: double.NaN,
-            ask_price: double.NaN,
-            last_price: double.NaN,
-            settlement_price: u.settle_price,
-            sod_pnl: u.start_pnl,
-            sod: new() {
-               price_size = new(
-                  u.start_long_pos,
-                  u.start_long_avg_cost,
-                  u.start_short_pos,
-                  u.start_short_avg_cost),
-               greeks = new() {
-                  delta = u.start_delta,
-                  gamma = u.start_gamma,
-                  vega = u.start_vega,
-                  theta = u.start_theta
-               }
-            },
-            day_pnl: u.day_pnl,
-            day: new() {
-               price_size = new(
-                  u.day_long_pos,
-                  u.day_long_avg_cost,
-                  u.day_short_pos,
-                  u.day_short_avg_cost),
-               greeks = new() {
-                  delta = u.day_delta,
-                  gamma = u.day_gamma,
-                  vega = u.day_vega,
-                  theta = u.day_theta
-               }
-            },
-            working: null,
-            security: u.security,
-            account_id: u.account_id,
-            account_name: u.account,
-            calc_type: PNLCalculationType.Mid,
-            qty_conversion: null);
-
-      public PNLRowData with(
-         SecurityImmutable? security = null,
-         uint? account_id = null,
-         string account_name = null,
-         WorkingOrderData? working = null,
-         PNLCalculationType? calc_type = null) =>
-         new PNLRowData(
-            key,
-            default_cpp,
-            override_cpp,
-            pnl_price,
-            bid_price,
-            ask_price,
-            last_price,
-            settlement_price,
-            sod_pnl: sod_pnl,
-            sod,
-            day_pnl: day_pnl,
-            day,
-            working ?? this.working,
-            security ?? this.security,
-            account_id ?? this.account_id,
-            account_name ?? this.account_name,
-            calc_type ?? this.calc_type,
-            qty_conversion: qty_conversion);
-
-      WaterfallPriceFlags _waterfall_flags() {
-         var flags = WaterfallPriceFlags.None;
-         if (!double.IsNaN(bid_price)) flags |= WaterfallPriceFlags.Bid;
-         if (!double.IsNaN(ask_price)) flags |= WaterfallPriceFlags.Ask;
-         if (!double.IsNaN(last_price)) flags |= WaterfallPriceFlags.Last;
-         if (last_price >= bid_price) flags |= WaterfallPriceFlags.LastGTEBid;
-         if (last_price <= ask_price) flags |= WaterfallPriceFlags.LastLTEAsk;
-         if (!double.IsNaN(settlement_price)) flags |= WaterfallPriceFlags.Settle;
-         if (bid_price >= settlement_price) flags |= WaterfallPriceFlags.BidGTESettle;
-         if (ask_price <= settlement_price) flags |= WaterfallPriceFlags.AskLTESettle;
-         return flags;
-      }
-
-      double _waterfall_price() {
-         var flags = _waterfall_flags();
-         // return price for the best match
-         for (int i = 0; i < _waterfall_preferences.Length; i++) {
-            if ((_waterfall_preferences[i] & flags) == _waterfall_preferences[i])
-               return _waterfall_price(_waterfall_preferences[i]);
-         }
-         return double.NaN;
-      }
-
-      double _waterfall_price(WaterfallPriceFlags ltp) {
-         switch (ltp) {
-            case WaterfallPriceFlags.Last:
-            case WaterfallPriceFlags.LastInsideSpread:
-            case WaterfallPriceFlags.LastGTEBid:
-            case WaterfallPriceFlags.LastLTEAsk: return last_price;
-            case WaterfallPriceFlags.Mid: return mid_price;
-            case WaterfallPriceFlags.Bid:
-            case WaterfallPriceFlags.BidGTESettle: return bid_price;
-            case WaterfallPriceFlags.Ask:
-            case WaterfallPriceFlags.AskLTESettle: return ask_price;
-            case WaterfallPriceFlags.Settle: return settlement_price;
-            default: return double.NaN;
-         }
-      }
-
-      public bool Equals(PNLRowData other) =>
-         key == other.key &&
-         default_cpp == other.default_cpp &&
-         override_cpp == other.override_cpp &&
-         security.HasValue == other.security.HasValue &&
-         account_name == other.account_name &&
-         sod == other.sod &&
-         day == other.day &&
-         bid_price.Equals(other.bid_price) &&
-         ask_price.Equals(other.ask_price) &&
-         last_price.Equals(other.last_price) &&
-         mid_price.Equals(other.mid_price) &&
-         settlement_price.Equals(other.settlement_price) &&
-         calc_type.Equals(other.calc_type) &&
-         working.summary == other.working.summary &&
-         qty_conversion == other.qty_conversion;
-
-      public override bool Equals(object obj) =>
-         obj is PNLRowData other && Equals(other);
-
-      // assuming callers will not combine different values with the same key,
-      // the other components shouldn't be included in the hash calculation.
-      public override int GetHashCode() =>
-         key.GetHashCode();
-
-      public static bool operator ==(PNLRowData a, PNLRowData b) => a.Equals(b);
-      public static bool operator !=(PNLRowData a, PNLRowData b) => !a.Equals(b);
-   }
-
-   static class PNLDataExtensions {
-      public static string pnl_symbol(this SecurityImmutable security) {
-         return bts.api.ExchangeSpecificUtilities.get_pnl_symbol(security);
-      }
-
-      // while override_cpp could use double.NaN to indicate the lack of an override,
-      // the nullable double makes it clear that it is an optional value.
-      public static (double default_cpp, double? override_cpp) pnl_cpp_tuple(this PNLUnitImmutable pnl_unit, SecurityImmutable? security) =>
-         security.HasValue ?
-            pnl_cpp_tuple(pnl_unit, security.Value) :
-            (pnl_unit.CashValue, pnl_unit.HasCppOverride ? pnl_unit.CppOverride.Value : (double?)null);
-
-      public static (double default_cpp, double? override_cpp) pnl_cpp_tuple(this PNLUnitImmutable pnl_unit, SecurityImmutable security) {
-         // TODO: actual impl
-         double calced_pnl = bts.api.ExchangeSpecificUtilities.get_cpp(pnl_unit, security);
-         return (calced_pnl, pnl_unit.HasCppOverride ? pnl_unit.CppOverride.Value : (double?)null);
-      }
-   }
-}
+using bts.api;
+using bts.api.position;
+using bts.utils;
+
+using mbts;
+using mbts.analytics;
+using mbts.spark;
+using mbts.utils;
+
+using Spark.Api.Data;
+using Spark.Api.Position;
+
+using System;
+using System.Collections.Generic;
+using System.ComponentModel;
+using System.Linq;
+
+using PNLKey = bts.AccountSecurityKey;
+
+namespace bts.shell.pnl {
+   public enum PNLCalculationType {
+      None,
+      Bid,
+      Ask,
+      Opposite,
+      Same,
+      [Description("Cascade")]
+      Waterfall,
+      Last,
+      Mid,
+      Settle
+   }
+
+   readonly struct PNLRowData : IEquatable<PNLRowData> {
+      public static readonly Func<PNLRowData, PNLKey> key_fn = d => d.key;
+      public static IComparer<PNLRowData> key_comparer = Comparer<PNLKey>.Default.wrap<PNLKey, PNLRowData>(d => d.key);
+
+      public readonly PNLKey key;
+      public readonly SecurityImmutable? security;
+      public readonly QuantityConversionData<double> qty_conversion;
+      public readonly uint account_id;
+      public readonly string account_name;
+      public readonly PNLCalculationType calc_type;
+      public readonly PositionPriceSizeWithGreeks sod;
+      public readonly PositionPriceSizeWithGreeks day;
+      public readonly WorkingOrderData working;
+
+      public readonly double
+         default_cpp,
+         bid_price,
+         ask_price,
+         last_price,
+         settlement_price;
+
+      public readonly double? override_cpp;
+
+      public PNLRowData(
+         PNLKey key,
+         double default_cpp = 1,
+         double? override_cpp = null,
+         double pnl_price = double.NaN,
+         double bid_price = 0,
+         double ask_price = 0,
+         double last_price = 0,
+         double settlement_price = 0,
+         PositionPriceSizeWithGreeks? sod = null,
+         PositionPriceSizeWithGreeks? day = null,
+         WorkingOrderData? working = null,
+         SecurityImmutable? security = null,
+         uint account_id = 0,
+         string account_name = null,
+         PNLCalculationType calc_type = PNLCalculationType.Mid,
+         QuantityConversionData<double>? qty_conversion = null) {
+         //
+         this.key = key;
+         this.default_cpp = default_cpp;
+         this.override_cpp = override_cpp;
+         this.pnl_price = pnl_price;
+         this.bid_price = bid_price;
+         this.ask_price = ask_price;
+         this.last_price = last_price;
+         this.settlement_price = settlement_price;
+         this.sod = sod ?? PositionPriceSizeWithGreeks.empty;
+         this.day = day ?? PositionPriceSizeWithGreeks.empty;
+         this.working = working ?? WorkingOrderData.Empty;
+         this.security = security;
+         this.account_id = account_id;
+         this.account_name = account_name;
+         this.calc_type = calc_type;
+         this.qty_conversion = qty_conversion ?? new();
+      }
+
+      public AccountTuple account => new(account_id, account_name);
+      public string symbol => security?.pnl_symbol() ?? string.Empty;
+      public ExpirationDate expiration =>
+         security?.normal_expirations()?.MinOrDefault(ExpirationDate.None) ?? ExpirationDate.None;
+      public double effective_cpp => override_cpp ?? default_cpp;
+
+      /// Market/Calc
+      public double mid_price => (bid_price + ask_price) / 2;
+      public double pnl_price { get; }
+
+      /// Sod
+      public double sod_pnl => new[] { sod_realized_pnl, sod_unrealized_pnl }.sum_real();
+      public double sod_long_pos => sod.long_pos;
+      public double sod_long_avg_price => sod.long_avg;
+      public double sod_long_avg_pnl => bid_price - sod.long_avg;
+      public double sod_short_pos => sod.short_pos;
+      public double sod_short_avg_price => sod.short_avg;
+      public double sod_short_avg_pnl => sod.short_avg - ask_price;
+      public double sod_net_pos => sod.net_pos;
+      public double sod_net_avg_price => sod.net_avg;
+      public double sod_unrealized_pnl => sod_long_pos > sod_short_pos
+         ? (sod_long_pos - sod_short_pos) * effective_cpp * (bid_price - sod_long_avg_price)
+         : (sod_short_pos - sod_long_pos) * effective_cpp * (sod_short_avg_price - ask_price);
+      public double sod_realized_pnl => (sod_short_avg_price - sod_long_avg_price) * effective_cpp * Math.Min(sod_long_pos, sod_short_pos);
+      public double sod_delta => sod.delta;
+      public double sod_gamma => sod.gamma;
+      public double sod_vega => sod.vega;
+      public double sod_theta => sod.theta;
+      public double display_sod_net_pos => qty_conversion.to_display(sod_net_pos);
+      public double display_sod_long_pos => qty_conversion.to_display(sod_long_pos);
+      public double display_sod_short_pos => qty_conversion.to_display(sod_short_pos);
+
+      /// Day
+      public double day_pnl => new[] { day_realized_pnl + day_unrealized_pnl }.sum_real();
+      public double day_long_pos => day.long_pos;
+      public double day_long_avg_price => day.long_avg;
+      public double day_long_avg_pnl => bid_price - day.long_avg;
+      public double day_short_pos => day.short_pos;
+      public double day_short_avg_price => day.short_avg;
+      public double day_short_avg_pnl => day.short_avg - ask_price;
+      public double day_delta => day.delta;
+      public double day_gamma => day.gamma;
+      public double day_vega => day.vega;
+      public double day_theta => day.theta;
+      public bool has_day_trades => day.long_pos > 0 || day.short_pos > 0;
+      public double day_net_pos => day.net_pos;
+      public double day_net_avg => day.net_avg;
+      public double day_unrealized_pnl => day_long_pos > day_short_pos
+         ? (day_long_pos - day_short_pos) * effective_cpp * (bid_price - day_long_avg_price)
+         : (day_short_pos - day_long_pos) * effective_cpp * (day_short_avg_price - ask_price);
+      public double day_realized_pnl => (day_short_avg_price - day_long_avg_price) * effective_cpp * Math.Min(day_long_pos, day_short_pos);
+      public double display_day_net_pos => qty_conversion.to_display(day_net_pos);
+      public double display_day_long_pos => qty_conversion.to_display(day_long_pos);
+      public double display_day_short_pos => qty_conversion.to_display(day_short_pos);
+
+      /// Total
+      public double total_pnl => new[] { sod_pnl, day_pnl }.sum_real();
+      public double total_long_pos => new[] { sod.long_pos, day.long_pos }.sum_real();
+      public double total_long_avg_price =>
+         MathUtils.weighted_average(
+            sod_long_avg_price.if_nan(0),
+            sod_long_pos.if_nan(0),
+            day_long_avg_price.if_nan(0),
+            day_long_pos.if_nan(0));
+      public double total_long_avg_pnl => new[] { sod_long_avg_pnl, day_long_avg_pnl }.sum_real();
+      public double total_short_pos => new[] { sod.short_pos, day.short_pos }.sum_real();
+      public double total_short_avg_price =>
+         MathUtils.weighted_average(
+            sod_short_avg_price.if_nan(0),
+            sod_short_pos.if_nan(0),
+            day_short_avg_price.if_nan(0),
+            day_short_pos.if_nan(0));
+      public double total_short_avg_pnl => new[] { sod_short_avg_pnl, day_short_avg_pnl }.sum_real();
+      public double total_net_pos => new[] { sod.long_pos, -sod.short_pos, day.long_pos, -day.short_pos }.Where(n => n.is_real()).Sum();
+      public double total_unrealized_pnl => new[] { sod_unrealized_pnl, day_unrealized_pnl }.sum_real();
+      public double total_realized_pnl => new[] { sod_realized_pnl, day_realized_pnl }.sum_real();
+      public double total_delta => sod.delta.add_real(day.delta);
+      public double total_gamma => sod.gamma.add_real(day.gamma);
+      public double total_vega => sod.vega.add_real(day.vega);
+      public double total_theta => sod.theta.add_real(day.theta);
+      public double display_total_net_pos => qty_conversion.to_display(total_net_pos);
+      public double display_total_long_pos => qty_conversion.to_display(total_long_pos);
+      public double display_total_short_pos => qty_conversion.to_display(total_short_pos);
+
+      /// Working
+      public double working_long_pos => working.long_data.working_total;
+      public double working_long_avg_price => effective_cpp * working.long_data.avg_price;
+      public double working_long_top_price => effective_cpp * working.long_data.top_price;
+      public double working_short_pos => working.short_data.working_total;
+      public double working_short_avg_price => effective_cpp * working.short_data.avg_price;
+      public double working_short_top_price => effective_cpp * working.short_data.top_price;
+      public double working_net_pos => working_long_pos - working_short_pos;
+      public double display_working_net_pos => qty_conversion.to_display(working_net_pos);
+      public double display_working_long_pos => qty_conversion.to_display(working_long_pos);
+      public double display_working_short_pos => qty_conversion.to_display(working_short_pos);
+
+      public static PNLRowData from_pnl_unit(IPNLUnit u) =>
+         new(
+            u.id(),
+            default_cpp: u.security.spec_or_default().CashPerPoint,
+            override_cpp: null,
+            pnl_price: u.theo,
+            bid_price: double.NaN,
+            ask_price: double.NaN,
+            last_price: double.NaN,
+            settlement_price: u.settle_price,
+            // Now computed as the sum: sod_realized_pnl + sod_unrealized_pnl
+            // sod_pnl: u.start_pnl,
+            sod: new() {
+               price_size = new(
+                  u.start_long_pos,
+                  u.start_long_avg_cost,
+                  u.start_short_pos,
+                  -u.start_short_avg_cost),
+               greeks = new() {
+                  delta = u.start_delta,
+                  gamma = u.start_gamma,
+                  vega = u.start_vega,
+                  theta = u.start_theta
+               }
+            },
+            // Now computed as the sum: day_realized_pnl + day_unrealized_pnl
+            // day_pnl: u.day_pnl,
+            day: new() {
+               price_size = new(
+                  u.day_long_pos,
+                  u.day_long_avg_cost,
+                  u.day_short_pos,
+                  -u.day_short_avg_cost),
+               greeks = new() {
+                  delta = u.day_delta,
+                  gamma = u.day_gamma,
+                  vega = u.day_vega,
+                  theta = u.day_theta
+               }
+            },
+            working: null,
+            security: u.security,
+            account_id: u.account_id,
+            account_name: u.account,
+            calc_type: PNLCalculationType.Mid,
+            qty_conversion: null);
+
+      public PNLRowData with(
+         SecurityImmutable? security = null,
+         uint? account_id = null,
+         string account_name = null,
+         WorkingOrderData? working = null,
+         PNLCalculationType? calc_type = null,
+         double? bid_price = null,
+         double? ask_price = null) =>
+         new PNLRowData(
+            key,
+            default_cpp,
+            override_cpp,
+            pnl_price,
+            bid_price ?? this.bid_price,
+            ask_price ?? this.ask_price,
+            last_price,
+            settlement_price,
+            sod,
+            day,
+            working ?? this.working,
+            security ?? this.security,
+            account_id ?? this.account_id,
+            account_name ?? this.account_name,
+            calc_type ?? this.calc_type,
+            qty_conversion: qty_conversion);
+
+      public PNLRowData with(SecurityMD smd) {
+         ulong time = 0;
+         if (!smd.md.get_bbo(ref time, out var bid, out var ask)) {
+            return this;
+         }
+         return with(security: smd.security, bid_price: bid.price, ask_price: ask.price);
+      }
+
+      public bool Equals(PNLRowData other) =>
+         key == other.key &&
+         default_cpp == other.default_cpp &&
+         override_cpp == other.override_cpp &&
+         security.HasValue == other.security.HasValue &&
+         account_name == other.account_name &&
+         sod == other.sod &&
+         day == other.day &&
+         bid_price.Equals(other.bid_price) &&
+         ask_price.Equals(other.ask_price) &&
+         last_price.Equals(other.last_price) &&
+         mid_price.Equals(other.mid_price) &&
+         settlement_price.Equals(other.settlement_price) &&
+         calc_type.Equals(other.calc_type) &&
+         working.summary == other.working.summary &&
+         qty_conversion == other.qty_conversion;
+
+      public override bool Equals(object obj) =>
+         obj is PNLRowData other && Equals(other);
+
+      // assuming callers will not combine different values with the same key,
+      // the other components shouldn't be included in the hash calculation.
+      public override int GetHashCode() =>
+         key.GetHashCode();
+
+      public static bool operator ==(PNLRowData a, PNLRowData b) => a.Equals(b);
+      public static bool operator !=(PNLRowData a, PNLRowData b) => !a.Equals(b);
+   }
+
+   static class PNLDataExtensions {
+      public static string pnl_symbol(this SecurityImmutable security) {
+         return bts.api.ExchangeSpecificUtilities.get_pnl_symbol(security);
+      }
+
+      // while override_cpp could use double.NaN to indicate the lack of an override,
+      // the nullable double makes it clear that it is an optional value.
+      public static (double default_cpp, double? override_cpp) pnl_cpp_tuple(this PNLUnitImmutable pnl_unit, SecurityImmutable? security) =>
+         security.HasValue ?
+            pnl_cpp_tuple(pnl_unit, security.Value) :
+            (pnl_unit.CashValue, pnl_unit.HasCppOverride ? pnl_unit.CppOverride.Value : (double?)null);
+
+      public static (double default_cpp, double? override_cpp) pnl_cpp_tuple(this PNLUnitImmutable pnl_unit, SecurityImmutable security) {
+         // TODO: actual impl
+         double calced_pnl = bts.api.ExchangeSpecificUtilities.get_cpp(pnl_unit, security);
+         return (calced_pnl, pnl_unit.HasCppOverride ? pnl_unit.CppOverride.Value : (double?)null);
+      }
+   }
+}

src/client/spark/Modules/Trading/PNL/Data/PNLNormalizedData.cs

@@ -38,6 +38,8 @@ namespace bts.shell.pnl {
 
       // sod
       public decimal sod_pnl { get; init; }
+      public decimal sod_realized_pnl { get; init; }
+      public decimal sod_unrealized_pnl { get; init; }
       public decimal sod_long_pos { get; init; }
       public decimal sod_short_pos { get; init; }
       public decimal sod_net_pos => sod_long_pos - sod_short_pos;
@@ -51,6 +53,8 @@ namespace bts.shell.pnl {
 
       // day
       public decimal day_pnl { get; init; }
+      public decimal day_realized_pnl { get; init; }
+      public decimal day_unrealized_pnl { get; init; }
       public decimal day_long_pos { get; init; }
       public decimal day_short_pos { get; init; }
       public decimal day_net_pos => day_long_pos - day_short_pos;
@@ -64,6 +68,8 @@ namespace bts.shell.pnl {
 
       // total
       public decimal total_pnl => sod_pnl + day_pnl;
+      public decimal total_realized_pnl => sod_realized_pnl + day_realized_pnl;
+      public decimal total_unrealized_pnl => sod_unrealized_pnl + day_unrealized_pnl;
       public decimal total_net_pos => total_long_pos - total_short_pos;
       public decimal total_long_pos => sod_long_pos + day_long_pos;
       public decimal total_short_pos => sod_short_pos + day_short_pos;
@@ -86,6 +92,8 @@ namespace bts.shell.pnl {
       public bool Equals(PNLNormalizedData other) =>
          // sod
          sod_pnl == other.sod_pnl &&
+         sod_realized_pnl == other.sod_realized_pnl &&
+         sod_unrealized_pnl == other.sod_unrealized_pnl &&
          sod_long_pos == other.sod_long_pos &&
          sod_short_pos == other.sod_short_pos &&
          sod_delta == other.sod_delta &&
@@ -97,6 +105,8 @@ namespace bts.shell.pnl {
 
          // day
          day_pnl == other.day_pnl &&
+         day_realized_pnl == other.day_realized_pnl &&
+         day_unrealized_pnl == other.day_unrealized_pnl &&
          day_long_pos == other.day_long_pos &&
          day_short_pos == other.day_short_pos &&
          day_delta == other.day_delta &&

src/client/spark/Modules/Trading/PNL/PNLWindow.cs

@@ -137,6 +137,10 @@ namespace bts.shell {
          _cached_columns = ImmutableList<DIYGrid.ColumnBase>.Empty.AddRange(_view._grid.Columns);
 
          _commands = new() {
+            SparkCommands.ShowMarketView.complete(() => {
+               var rows = _vm.selected_rows.null_if_empty() ?? _vm.rows;
+               return SecurityCriteria.from_keys(rows.Select(r => r.security_key.value).Distinct());
+            }),
             new SparkCommandCommand(
                "Collapse All", Icons.RightArrow, new Command(() => _vm.set_all_expanded(false))),
             new SparkCommandCommand(
@@ -211,13 +215,16 @@ namespace bts.shell {
             .ToArray();
          var calc_type = _vm.calculation_type;
          var state = _settings_manager.instance_settings;
+         var menu_display = _menu_display_vm?.create();
          if (state is null) {
             // don't use defaults if the user manipulated the window state outside of the
             // settings dialog (e.g., resized column(s) via drag, or changed sort/filter)
             var defaults = _settings_manager.default_settings;
             if (calc_type == defaults.calculation_type &&
                defaults.sorting_criteria.SequenceEqual(sorting_criteria) &&
-               defaults.grid.columns.SequenceEqual(cols) && defaults.filters.safe_equals(filters)) {
+               defaults.grid.columns.SequenceEqual(cols) &&
+               defaults.filters.safe_equals(filters) &&
+               (!menu_display.HasValue || menu_display.Value.Equals(defaults.menu_display))) {
                // the user's current state still matches the defaults (i.e., no outside
                // manipulation was performed); return null so this window will use the latest
                // default settings when restored
@@ -234,7 +241,7 @@ namespace bts.shell {
             state.grid.with(columns: cols, background: _vm.grid_background_color.to_uint()),
             calc_type,
             _vm.header_row_display,
-            menu_display: _menu_display_vm?.create());
+            menu_display: menu_display);
          return new PNLSaveState { use_defaults = false, settings = state };
       }
 

src/client/spark/Modules/Trading/PNL/PNLWindowFactory.cs

@@ -98,7 +98,7 @@ namespace bts.shell {
 
          static bool _apply(ref PNLSettings settings, IEnumerable<PNLAnimationTriggerData> actual_triggers, IEnumerable<PNLAnimationTriggerData> default_triggers, Func<PNLSettings, PNLAnimationTriggerData[], PNLSettings> set_triggers) {
             if (_apply(actual_triggers, default_triggers, out var result)) {
-               settings = set_triggers(settings, actual_triggers.Concat(result).ToArray());
+               settings = set_triggers(settings, result.ToArray());
                return true;
             }
             return false;

src/client/spark/Modules/Trading/PNL/Settings/PNLFilterSettings.cs

@@ -9,6 +9,8 @@ namespace bts.shell.pnl {
 
    using ProtoBuf;
 
+   using Spark.Api.Data;
+
    using System;
    using System.Linq;
 
@@ -33,8 +35,8 @@ namespace bts.shell.pnl {
 
       // expiration
       [ProtoMember(53)]
-      DateTime[] _expiration;
-      public DateTime[] expiration {
+      ExpirationDate[] _expiration;
+      public ExpirationDate[] expiration {
          get => _expiration.empty_if_null();
          set => _expiration = value;
       }
@@ -65,16 +67,24 @@ namespace bts.shell.pnl {
       /// sod
       [ProtoMember(8)]
       public DoubleMinMaxState sod_pnl { get; set; }
+      [ProtoMember(54)]
+      public DoubleMinMaxState sod_realized_pnl { get; set; }
+      [ProtoMember(55)]
+      public DoubleMinMaxState sod_unrealized_pnl { get; set; }
       // sod long
       [ProtoMember(9)]
       public DoubleMinMaxState sod_long_pos { get; set; }
       [ProtoMember(10)]
       public DoubleMinMaxState sod_long_avg_price { get; set; }
+      [ProtoMember(60)]
+      public DoubleMinMaxState sod_long_avg_pnl { get; set; }
       // sod short
       [ProtoMember(11)]
       public DoubleMinMaxState sod_short_pos { get; set; }
       [ProtoMember(12)]
       public DoubleMinMaxState sod_short_avg_price { get; set; }
+      [ProtoMember(61)]
+      public DoubleMinMaxState sod_short_avg_pnl { get; set; }
       // sod net
       [ProtoMember(13)]
       public DoubleMinMaxState sod_net_pos { get; set; }
@@ -92,16 +102,24 @@ namespace bts.shell.pnl {
       /// day
       [ProtoMember(14)]
       public DoubleMinMaxState day_pnl { get; set; }
+      [ProtoMember(56)]
+      public DoubleMinMaxState day_realized_pnl { get; set; }
+      [ProtoMember(57)]
+      public DoubleMinMaxState day_unrealized_pnl { get; set; }
       // day long
       [ProtoMember(15)]
       public DoubleMinMaxState day_long_pos { get; set; }
       [ProtoMember(16)]
       public DoubleMinMaxState day_long_avg_price { get; set; }
+      [ProtoMember(62)]
+      public DoubleMinMaxState day_long_avg_pnl { get; set; }
       // day short
       [ProtoMember(17)]
       public DoubleMinMaxState day_short_pos { get; set; }
       [ProtoMember(18)]
       public DoubleMinMaxState day_short_avg_price { get; set; }
+      [ProtoMember(63)]
+      public DoubleMinMaxState day_short_avg_pnl { get; set; }
       // day net
       [ProtoMember(19)]
       public DoubleMinMaxState day_net_pos { get; set; }
@@ -149,16 +167,24 @@ namespace bts.shell.pnl {
       /// total
       [ProtoMember(29)]
       public DoubleMinMaxState total_pnl { get; set; }
+      [ProtoMember(58)]
+      public DoubleMinMaxState total_realized_pnl { get; set; }
+      [ProtoMember(59)]
+      public DoubleMinMaxState total_unrealized_pnl { get; set; }
       // total long
       [ProtoMember(30)]
       public DoubleMinMaxState total_long_pos { get; set; }
       [ProtoMember(31)]
       public DoubleMinMaxState total_long_avg_price { get; set; }
+      [ProtoMember(64)]
+      public DoubleMinMaxState total_long_avg_pnl { get; set; }
       // total short
       [ProtoMember(32)]
       public DoubleMinMaxState total_short_pos { get; set; }
       [ProtoMember(33)]
       public DoubleMinMaxState total_short_avg_price { get; set; }
+      [ProtoMember(65)]
+      public DoubleMinMaxState total_short_avg_pnl { get; set; }
       // total net
       [ProtoMember(34)]
       public DoubleMinMaxState total_net_pos { get; set; }
@@ -199,6 +225,8 @@ namespace bts.shell.pnl {
          cpp.safe_equals(other.cpp) &&
          /// sod
          sod_pnl.safe_equals(other.sod_pnl) &&
+         sod_realized_pnl.safe_equals(other.sod_realized_pnl) &&
+         sod_unrealized_pnl.safe_equals(other.sod_unrealized_pnl) &&
          sod_long_pos.safe_equals(other.sod_long_pos) &&
          sod_long_avg_price.safe_equals(other.sod_long_avg_price) &&
          sod_short_pos.safe_equals(other.sod_short_pos) &&
@@ -210,6 +238,8 @@ namespace bts.shell.pnl {
          sod_theta.safe_equals(other.sod_theta) &&
          /// day
          day_pnl.safe_equals(other.day_pnl) &&
+         day_realized_pnl.safe_equals(other.day_realized_pnl) &&
+         day_unrealized_pnl.safe_equals(other.day_unrealized_pnl) &&
          day_long_pos.safe_equals(other.day_long_pos) &&
          day_long_avg_price.safe_equals(other.day_long_avg_price) &&
          day_short_pos.safe_equals(other.day_short_pos) &&
@@ -232,6 +262,8 @@ namespace bts.shell.pnl {
          working_net_pos.safe_equals(other.working_net_pos) &&
          /// total
          total_pnl.safe_equals(other.total_pnl) &&
+         total_realized_pnl.safe_equals(other.total_realized_pnl) &&
+         total_unrealized_pnl.safe_equals(other.total_unrealized_pnl) &&
          total_long_pos.safe_equals(other.total_long_pos) &&
          total_long_avg_price.safe_equals(other.total_long_avg_price) &&
          total_short_pos.safe_equals(other.total_short_pos) &&
@@ -270,6 +302,8 @@ namespace bts.shell.pnl {
          bd.add_numeric(fs.cpp, d => d.effective_cpp);
          /// sod
          bd.add_numeric(fs.sod_pnl, d => d.sod_pnl);
+         bd.add_numeric(fs.sod_realized_pnl, d => d.sod_realized_pnl);
+         bd.add_numeric(fs.sod_unrealized_pnl, d => d.sod_unrealized_pnl);
          bd.add_numeric(fs.sod_long_pos, d => d.sod_long_pos);
          bd.add_numeric(fs.sod_long_avg_price, d => d.sod_long_avg_price);
          bd.add_numeric(fs.sod_short_pos, d => d.sod_short_pos);
@@ -281,6 +315,8 @@ namespace bts.shell.pnl {
          bd.add_numeric(fs.sod_theta, d => d.sod_theta);
          /// day
          bd.add_numeric(fs.day_pnl, d => d.day_pnl);
+         bd.add_numeric(fs.day_realized_pnl, d => d.day_realized_pnl);
+         bd.add_numeric(fs.day_unrealized_pnl, d => d.day_unrealized_pnl);
          bd.add_numeric(fs.day_long_pos, d => d.day_long_pos);
          bd.add_numeric(fs.day_long_avg_price, d => d.day_long_avg_price);
          bd.add_numeric(fs.day_short_pos, d => d.day_short_pos);
@@ -299,6 +335,8 @@ namespace bts.shell.pnl {
          bd.add_numeric(fs.working_net_pos, d => d.working_net_pos);
          /// total
          bd.add_numeric(fs.total_pnl, d => d.total_pnl);
+         bd.add_numeric(fs.total_realized_pnl, d => d.total_realized_pnl);
+         bd.add_numeric(fs.total_unrealized_pnl, d => d.total_unrealized_pnl);
          bd.add_numeric(fs.total_long_pos, d => d.total_long_pos);
          bd.add_numeric(fs.total_long_avg_price, d => d.total_long_avg_price);
          bd.add_numeric(fs.total_short_pos, d => d.total_short_pos);

src/client/spark/Modules/Trading/PNL/Settings/PNLSettings.cs

@@ -9,9 +9,13 @@ using mbts.user.settings;
 
 using ProtoBuf;
 
+using Spark.Core;
+
 using System;
 using System.Collections.Generic;
+using System.IO;
 using System.Linq;
+using System.Reflection;
 using System.Windows;
 using System.Windows.Media;
 
@@ -110,7 +114,22 @@ namespace bts.shell.pnl {
       GridSettings _grid_backing;
       PNLCellAppearanceProto _grid_cell_appearance_backing;
 
-      public static PNLSettings Default =>
+      static LazyOnce<PNLSettings> defaultProfile;
+
+      static PNLSettings() {
+         defaultProfile = new(() => {
+            var binDir = Path.GetDirectoryName(Assembly.GetExecutingAssembly().Location);
+            var store = ShellWindowSettingsDirectoryStore.Create<PNLSettings>(
+               Path.Combine(binDir, "ShellWindowSettings", "Pnl"), "*." + mbts.spark.UserSettings.FileExtensions.PNL);
+            return store.Profiles.GetValueOrDefault("Default")
+               ?? store.Profiles.Values.FirstOrDefault()
+               ?? historicDefault;
+         });
+      }
+
+      public static PNLSettings Default => defaultProfile.Value;
+
+      static PNLSettings historicDefault =>
          new PNLSettings {
             _sorting_criteria = new[] {
                new SortingCriteria(nameof(Columns.Account), true),
@@ -192,6 +211,10 @@ namespace bts.shell.pnl {
             yield return _trigger($"{nameof(PNLRowData.total_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, font_weight: FontWeights.Bold, column: Columns.TotalPNL));
             yield return _trigger($"{nameof(PNLRowData.total_net_pos)} > 0", _animation(foreground: BTSColors.MarketData.bid, column: Columns.TotalNetPos));
             yield return _trigger($"{nameof(PNLRowData.total_net_pos)} < 0", _animation(foreground: BTSColors.MarketData.ask, column: Columns.TotalNetPos));
+            yield return _trigger($"{nameof(PNLRowData.total_realized_pnl)} > 0", _animation(foreground: BTSColors.PNL.profit, font_weight: FontWeights.Bold, column: Columns.TotalRealizedPNL));
+            yield return _trigger($"{nameof(PNLRowData.total_realized_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, font_weight: FontWeights.Bold, column: Columns.TotalRealizedPNL));
+            yield return _trigger($"{nameof(PNLRowData.total_unrealized_pnl)} > 0", _animation(foreground: BTSColors.PNL.profit, font_weight: FontWeights.Bold, column: Columns.TotalUnrealizedPNL));
+            yield return _trigger($"{nameof(PNLRowData.total_unrealized_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, font_weight: FontWeights.Bold, column: Columns.TotalUnrealizedPNL));
             // working
             yield return _trigger($"{nameof(PNLRowData.working_net_pos)} > 0", _animation(foreground: BTSColors.MarketData.bid, column: Columns.WorkingNetPos));
             yield return _trigger($"{nameof(PNLRowData.working_net_pos)} < 0", _animation(foreground: BTSColors.MarketData.ask, column: Columns.WorkingNetPos));
@@ -392,10 +415,14 @@ namespace bts.shell.pnl {
          public static GridColumnSettings cpp => new GridColumnSettings(nameof(Columns.CPP), "CPP", false, width: 50, horizontal_alignment: HorizontalAlignment.Right);
          // sod
          public static GridColumnSettings sod_pnl => new GridColumnSettings(nameof(Columns.SODPNL), Headers.SOD.PNL, width: Widths.PriceBig, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings sod_realized_pnl => new GridColumnSettings(nameof(Columns.SODRealizedPNL), Headers.SOD.RealizedPNL, width: Widths.PriceBig, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings sod_unrealized_pnl => new GridColumnSettings(nameof(Columns.SODUnrealizedPNL), Headers.SOD.UnrealizedPNL, width: Widths.PriceBig, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings sod_long_pos => new GridColumnSettings(nameof(Columns.SODLongPos), Headers.SOD.Long, false, width: Widths.Qty, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings sod_long_avg_price => new GridColumnSettings(nameof(Columns.SODLongAvgPrice), Headers.SOD.LongAvg, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings sod_long_avg_pnl => new(nameof(Columns.SODLongAvgPNL), Headers.SOD.LongAvgPNL, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings sod_short_pos => new GridColumnSettings(nameof(Columns.SODShortPos), Headers.SOD.Short, false, width: Widths.Qty, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings sod_short_avg_price => new GridColumnSettings(nameof(Columns.SODShortAvgPrice), Headers.SOD.ShortAvg, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings sod_short_avg_pnl => new(nameof(Columns.SODShortAvgPNL), Headers.SOD.ShortAvgPNL, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings sod_net_pos => new GridColumnSettings(nameof(Columns.SODNetPos), Headers.SOD.Net, width: Widths.Qty, horizontal_alignment: HorizontalAlignment.Right);
 
          public static GridColumnSettings sod_delta => new(
@@ -428,10 +455,14 @@ namespace bts.shell.pnl {
 
          // day
          public static GridColumnSettings day_pnl => new GridColumnSettings(nameof(Columns.DayPNL), Headers.Day.PNL, width: Widths.PriceBig, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings day_realized_pnl => new GridColumnSettings(nameof(Columns.DayRealizedPNL), Headers.Day.RealizedPNL, width: Widths.PriceBig, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings day_unrealized_pnl => new GridColumnSettings(nameof(Columns.DayUnrealizedPNL), Headers.Day.UnrealizedPNL, width: Widths.PriceBig, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings day_long_pos => new GridColumnSettings(nameof(Columns.DayLongPos), Headers.Day.Long, false, width: Widths.Qty, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings day_long_avg_price => new GridColumnSettings(nameof(Columns.DayLongAvgPrice), Headers.Day.LongAvg, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings day_long_avg_pnl => new GridColumnSettings(nameof(Columns.DayLongAvgPNL), Headers.Day.LongAvgPNL, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings day_short_pos => new GridColumnSettings(nameof(Columns.DayShortPos), Headers.Day.Short, false, width: Widths.Qty, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings day_short_avg_price => new GridColumnSettings(nameof(Columns.DayShortAvgPrice), Headers.Day.ShortAvg, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings day_short_avg_pnl => new GridColumnSettings(nameof(Columns.DayShortAvgPNL), Headers.Day.ShortAvgPNL, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings day_net_pos => new GridColumnSettings(nameof(Columns.DayNetPos), Headers.Day.Net, width: Widths.Qty, horizontal_alignment: HorizontalAlignment.Right);
 
          public static GridColumnSettings day_delta => new(
@@ -471,10 +502,14 @@ namespace bts.shell.pnl {
          public static GridColumnSettings working_net_pos => new GridColumnSettings(nameof(Columns.WorkingNetPos), Headers.Working.Net, width: Widths.WorkingQty, horizontal_alignment: HorizontalAlignment.Right);
          // total
          public static GridColumnSettings total_pnl => new GridColumnSettings(nameof(Columns.TotalPNL), Headers.Total.PNL, width: Widths.PriceBig, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings total_realized_pnl => new GridColumnSettings(nameof(Columns.TotalRealizedPNL), Headers.Total.RealizedPNL, width: Widths.PriceBig, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings total_unrealized_pnl => new GridColumnSettings(nameof(Columns.TotalUnrealizedPNL), Headers.Total.UnrealizedPNL, width: Widths.PriceBig, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings total_long_pos => new GridColumnSettings(nameof(Columns.TotalLongPos), Headers.Total.Long, false, width: Widths.Qty, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings total_long_avg_price => new GridColumnSettings(nameof(Columns.TotalLongAvgPrice), Headers.Total.LongAvg, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings total_long_avg_pnl => new(nameof(Columns.TotalLongAvgPNL), Headers.Total.LongAvgPNL, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings total_short_pos => new GridColumnSettings(nameof(Columns.TotalShortPos), Headers.Total.Short, false, width: Widths.Qty, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings total_short_avg_price => new GridColumnSettings(nameof(Columns.TotalShortAvgPrice), Headers.Total.ShortAvg, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings total_short_avg_pnl => new(nameof(Columns.TotalShortAvgPNL), Headers.Total.ShortAvgPNL, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings total_net_pos => new GridColumnSettings(nameof(Columns.TotalNetPos), Headers.Total.Net, width: Widths.Qty, horizontal_alignment: HorizontalAlignment.Right);
 
          public static GridColumnSettings total_delta => new(
@@ -528,28 +563,40 @@ namespace bts.shell.pnl {
 
                // pnl
                yield return sod_pnl;
+               yield return sod_realized_pnl;
+               yield return sod_unrealized_pnl;
                yield return day_pnl;
+               yield return day_realized_pnl;
+               yield return day_unrealized_pnl;
                yield return total_pnl;
+               yield return total_realized_pnl;
+               yield return total_unrealized_pnl;
 
                // sod pos, price
                yield return sod_long_pos;        // hidden
                yield return sod_long_avg_price;  // hidden
+               yield return sod_long_avg_pnl;    // hidden
                yield return sod_short_pos;       // hidden
                yield return sod_short_avg_price; // hidden
+               yield return sod_short_avg_pnl;   // hidden
                yield return sod_net_pos;
 
                // day pos, price
                yield return day_long_pos;        // hidden
                yield return day_long_avg_price;  // hidden
+               yield return day_long_avg_pnl;    // hidden
                yield return day_short_pos;       // hidden
                yield return day_short_avg_price; // hidden
+               yield return day_short_avg_pnl;   // hidden
                yield return day_net_pos;
 
                // total pos, price
                yield return total_long_pos;        // hidden
                yield return total_long_avg_price;  // hidden
+               yield return total_long_avg_pnl;    // hidden
                yield return total_short_pos;       // hidden
                yield return total_short_avg_price; // hidden
+               yield return total_short_avg_pnl;   // hidden
                yield return total_net_pos;
 
                // sod greeks

src/client/spark/Modules/Trading/PNL/VM/PNLRowVM.cs

@@ -6,6 +6,7 @@ using mbts.spark;
 using mbts.ui;
 using mbts.ui.shell;
 
+using Spark.Api.Data;
 using Spark.Core.Collections;
 using Spark.Core.Data;
 
@@ -49,9 +50,7 @@ namespace bts.shell.pnl {
          expiration_cell = _cell_map.add(
             ColumnKeys.Expiration,
             d => d.expiration,
-            e => e == DateTime.MinValue
-               ? "N/A"
-               : SecurityFormatter.format_expiration(e));
+            e => e.ToString());
          symbol_cell = _cell_map.add(ColumnKeys.Symbol, d => d.symbol);
          security_cell = _cell_map.add(
             ColumnKeys.Security,
@@ -63,14 +62,18 @@ namespace bts.shell.pnl {
          cpp = _cell_map.add(ColumnKeys.CPP, d => d.effective_cpp);
          // sod
          sod_pnl = _cell_map.add_pnl_double(ColumnKeys.SODPNL, d => d.sod_pnl);
+         sod_realized_pnl = _cell_map.add_pnl_double(ColumnKeys.SODRealizedPNL, d => d.sod_realized_pnl);
+         sod_unrealized_pnl = _cell_map.add_pnl_double(ColumnKeys.SODUnrealizedPNL, d => d.sod_unrealized_pnl);
          sod_net_pos = _cell_map.add_net_pos(
             ColumnKeys.SODNetPos, d => d.display_sod_net_pos, fmt_qty);
          sod_long_pos = _cell_map.add_long_pos(
             ColumnKeys.SODLongPos, d => d.display_sod_long_pos, fmt_qty);
          sod_long_avg_price = _cell_map.add_long_price(ColumnKeys.SODLongAvgPrice, d => d.sod_long_avg_price);
+         sod_long_avg_pnl = _cell_map.add_long_price(ColumnKeys.SODLongAvgPNL, d => d.sod_long_avg_pnl);
          sod_short_pos = _cell_map.add_short_pos(
             ColumnKeys.SODShortPos, d => d.display_sod_short_pos, fmt_qty);
          sod_short_avg_price = _cell_map.add_short_price(ColumnKeys.SODShortAvgPrice, d => d.sod_short_avg_price);
+         sod_short_avg_pnl = _cell_map.add_short_price(ColumnKeys.SODShortAvgPNL, d => d.sod_short_avg_pnl);
          sod_delta = _cell_map.add_pnl_double(ColumnKeys.SODDelta, d => d.sod_delta, fmt_greek);
          sod_gamma = _cell_map.add_pnl_double(ColumnKeys.SODGamma, d => d.sod_gamma, fmt_greek);
          sod_vega = _cell_map.add_pnl_double(ColumnKeys.SODVega, d => d.sod_vega, fmt_greek);
@@ -78,14 +81,18 @@ namespace bts.shell.pnl {
 
          // day
          day_pnl = _cell_map.add_pnl_double(ColumnKeys.DayPNL, d => d.day_pnl);
+         day_realized_pnl = _cell_map.add_pnl_double(ColumnKeys.DayRealizedPNL, d => d.day_realized_pnl);
+         day_unrealized_pnl = _cell_map.add_pnl_double(ColumnKeys.DayUnrealizedPNL, d => d.day_unrealized_pnl);
          day_net_pos = _cell_map.add_net_pos(
             ColumnKeys.DayNetPos, d => d.display_day_net_pos, fmt_qty);
          day_long_pos = _cell_map.add_long_pos(
             ColumnKeys.DayLongPos, d => d.display_day_long_pos, fmt_qty);
          day_long_avg_price = _cell_map.add_long_price(ColumnKeys.DayLongAvgPrice, d => d.day_long_avg_price);
+         day_long_avg_pnl = _cell_map.add_long_price(ColumnKeys.DayLongAvgPNL, d => d.day_long_avg_pnl);
          day_short_pos = _cell_map.add_short_pos(
             ColumnKeys.DayShortPos, d => d.display_day_short_pos, fmt_qty);
          day_short_avg_price = _cell_map.add_short_price(ColumnKeys.DayShortAvgPrice, d => d.day_short_avg_price);
+         day_short_avg_pnl = _cell_map.add_short_price(ColumnKeys.DayShortAvgPNL, d => d.day_short_avg_pnl);
          day_delta = _cell_map.add_pnl_double(ColumnKeys.DayDelta, d => d.day_delta, fmt_greek);
          day_gamma = _cell_map.add_pnl_double(ColumnKeys.DayGamma, d => d.day_gamma, fmt_greek);
          day_vega = _cell_map.add_pnl_double(ColumnKeys.DayVega, d => d.day_vega, fmt_greek);
@@ -106,14 +113,18 @@ namespace bts.shell.pnl {
          working_short_avg_price = _cell_map.add_short_price(ColumnKeys.WorkingShortAvgPrice, d => d.working_short_avg_price);
          // total
          total_pnl = _cell_map.add_pnl_double(ColumnKeys.TotalPNL, d => d.total_pnl);
+         total_realized_pnl = _cell_map.add_pnl_double(ColumnKeys.TotalRealizedPNL, d => d.total_realized_pnl);
+         total_unrealized_pnl = _cell_map.add_pnl_double(ColumnKeys.TotalUnrealizedPNL, d => d.total_unrealized_pnl);
          total_net_pos = _cell_map.add_net_pos(
             ColumnKeys.TotalNetPos, d => d.display_total_net_pos, fmt_qty);
          total_long_pos = _cell_map.add_long_pos(
             ColumnKeys.TotalLongPos, d => d.display_total_long_pos, fmt_qty);
          total_long_avg_price = _cell_map.add_long_price(ColumnKeys.TotalLongAvgPrice, d => d.total_long_avg_price);
+         total_long_avg_pnl = _cell_map.add_long_price(ColumnKeys.TotalLongAvgPNL, d => d.total_long_avg_pnl);
          total_short_pos = _cell_map.add_short_pos(
             ColumnKeys.TotalShortPos, d => d.display_total_short_pos, fmt_qty);
          total_short_avg_price = _cell_map.add_short_price(ColumnKeys.TotalShortAvgPrice, d => d.total_short_avg_price);
+         total_short_avg_pnl = _cell_map.add_short_price(ColumnKeys.TotalShortAvgPNL, d => d.total_short_avg_pnl);
          total_delta = _cell_map.add_pnl_double(
             ColumnKeys.TotalDelta, d => d.total_delta, fmt_greek);
          total_gamma = _cell_map.add_pnl_double(
@@ -192,6 +203,8 @@ namespace bts.shell.pnl {
                var nd = new PNLNormalizedData() {
                   // sod
                   sod_pnl = sod_pnl.value.round_to_decimal(),
+                  sod_realized_pnl = sod_realized_pnl.value.round_to_decimal(),
+                  sod_unrealized_pnl = sod_unrealized_pnl.value.round_to_decimal(),
                   sod_long_pos = sod_long,
                   sod_short_pos = sod_short,
                   sod_delta = sod_delta,
@@ -203,6 +216,8 @@ namespace bts.shell.pnl {
 
                   // day
                   day_pnl = day_pnl.value.round_to_decimal(),
+                  day_realized_pnl = day_realized_pnl.value.round_to_decimal(),
+                  day_unrealized_pnl = day_unrealized_pnl.value.round_to_decimal(),
                   day_long_pos = day_long,
                   day_short_pos = day_short,
                   day_delta = day_delta,
@@ -230,13 +245,13 @@ namespace bts.shell.pnl {
       public string account_name => data.account_name;
       public Venue exchange => security?.Exchange ?? Venue.Unset;
       public string symbol => security.symbol_or_default();
-      public DateTime expiration => data.expiration;
+      public ExpirationDate expiration => data.expiration;
       public Security.ContractOneofCase security_type => security?.ContractCase ?? Security.ContractOneofCase.None;
       public SecurityImmutable? security => data.security;
       // cells
       public PNLCellVM<PNLRowData, AccountTuple> account_cell { get; }
       public PNLCellVM<PNLRowData, Venue> exchange_cell { get; }
-      public PNLCellVM<PNLRowData, DateTime> expiration_cell { get; }
+      public PNLCellVM<PNLRowData, ExpirationDate> expiration_cell { get; }
       public PNLCellVM<PNLRowData, string> symbol_cell { get; }
       public PNLCellVM<PNLRowData, Security.ContractOneofCase> security_type_cell { get; }
       public PNLCellVM<PNLRowData, SecurityImmutable?> security_cell { get; }
@@ -244,11 +259,15 @@ namespace bts.shell.pnl {
       public PNLCellVM<PNLRowData, double> cpp { get; }
       // sod
       public PNLCellVM<PNLRowData, double> sod_pnl { get; }
+      public PNLCellVM<PNLRowData, double> sod_realized_pnl { get; }
+      public PNLCellVM<PNLRowData, double> sod_unrealized_pnl { get; }
       public PNLCellVM<PNLRowData, double> sod_net_pos { get; }
       public PNLCellVM<PNLRowData, double> sod_long_pos { get; }
       public PNLCellVM<PNLRowData, double> sod_long_avg_price { get; }
+      public PNLCellVM<PNLRowData, double> sod_long_avg_pnl { get; }
       public PNLCellVM<PNLRowData, double> sod_short_pos { get; }
       public PNLCellVM<PNLRowData, double> sod_short_avg_price { get; }
+      public PNLCellVM<PNLRowData, double> sod_short_avg_pnl { get; }
       public PNLCellVM<PNLRowData, double> sod_delta { get; }
       public PNLCellVM<PNLRowData, double> sod_gamma { get; }
       public PNLCellVM<PNLRowData, double> sod_vega { get; }
@@ -256,11 +275,15 @@ namespace bts.shell.pnl {
 
       // day
       public PNLCellVM<PNLRowData, double> day_pnl { get; }
+      public PNLCellVM<PNLRowData, double> day_realized_pnl { get; }
+      public PNLCellVM<PNLRowData, double> day_unrealized_pnl { get; }
       public PNLCellVM<PNLRowData, double> day_net_pos { get; }
       public PNLCellVM<PNLRowData, double> day_long_pos { get; }
       public PNLCellVM<PNLRowData, double> day_long_avg_price { get; }
+      public PNLCellVM<PNLRowData, double> day_long_avg_pnl { get; }
       public PNLCellVM<PNLRowData, double> day_short_pos { get; }
       public PNLCellVM<PNLRowData, double> day_short_avg_price { get; }
+      public PNLCellVM<PNLRowData, double> day_short_avg_pnl { get; }
       public PNLCellVM<PNLRowData, double> day_delta { get; }
       public PNLCellVM<PNLRowData, double> day_gamma { get; }
       public PNLCellVM<PNLRowData, double> day_vega { get; }
@@ -274,11 +297,15 @@ namespace bts.shell.pnl {
       public PNLCellVM<PNLRowData, double> working_short_avg_price { get; }
       // total
       public PNLCellVM<PNLRowData, double> total_pnl { get; }
+      public PNLCellVM<PNLRowData, double> total_realized_pnl { get; }
+      public PNLCellVM<PNLRowData, double> total_unrealized_pnl { get; }
       public PNLCellVM<PNLRowData, double> total_net_pos { get; }
       public PNLCellVM<PNLRowData, double> total_long_pos { get; }
       public PNLCellVM<PNLRowData, double> total_long_avg_price { get; }
+      public PNLCellVM<PNLRowData, double> total_long_avg_pnl { get; }
       public PNLCellVM<PNLRowData, double> total_short_pos { get; }
       public PNLCellVM<PNLRowData, double> total_short_avg_price { get; }
+      public PNLCellVM<PNLRowData, double> total_short_avg_pnl { get; }
       public PNLCellVM<PNLRowData, double> total_delta { get; }
       public PNLCellVM<PNLRowData, double> total_gamma { get; }
       public PNLCellVM<PNLRowData, double> total_vega { get; }

src/client/spark/Modules/Trading/PNL/VM/PNLVM.cs

@@ -17,6 +17,7 @@ namespace bts.shell.pnl {
    using mbts.ui.utility;
    using mbts.utils;
 
+   using Spark.Api.Data;
    using Spark.Api.Orders;
    using Spark.Core;
    using Spark.Core.Collections;
@@ -119,7 +120,7 @@ namespace bts.shell.pnl {
             out var symbol_filter_items_observer,
             out var symbol_filter_items_view);
          symbol_filter_items_view.CustomSort = Comparer<string>.Default.to_safe().to_non_generic();
-         expiration_filter = DiscreteValuesFilterVM.CreateTableUpdate<PNLRowData, DateTime, DateTime>(
+         expiration_filter = DiscreteValuesFilterVM.CreateTableUpdate<PNLRowData, ExpirationDate, ExpirationDate>(
             r => r.expiration,
             exp => exp,
             out var expiration_filter_items_observer,
@@ -226,7 +227,7 @@ namespace bts.shell.pnl {
       /// security
       public IDataGridColumnPersistentFilter<PNLRowData, uint[]> account_filter { get; }
       public IDataGridColumnPersistentFilter<PNLRowData, Venue[]> exchange_filter { get; } = DiscreteValuesFilterVM.Common.exchange<PNLRowData>(r => r.security.exchange_or_default(), nameof(PNLRowVM.exchange));
-      public IDataGridColumnPersistentFilter<PNLRowData, DateTime[]> expiration_filter { get; }
+      public IDataGridColumnPersistentFilter<PNLRowData, ExpirationDate[]> expiration_filter { get; }
       public IDataGridColumnPersistentFilter<PNLRowData, string[]> symbol_filter { get; }
       public IDataGridColumnPersistentFilter<PNLRowData, string> security_filter { get; } = new RegexFilterVM<PNLRowData>(r => r.security?.ToString(), nameof(PNLRowData.security));
       public IDataGridColumnPersistentFilter<PNLRowData, string> security_key_filter { get; } = new RegexFilterVM<PNLRowData>(r => r.key.security_id.ToString());
@@ -237,10 +238,14 @@ namespace bts.shell.pnl {
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> cpp_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.effective_cpp);
       /// sod
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod_pnl);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_realized_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod_realized_pnl);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_unrealized_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod_unrealized_pnl);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_long_pos_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod.long_pos);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_long_avg_price_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod_long_avg_price);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_long_avg_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod_long_avg_pnl);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_short_pos_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod.short_pos);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_short_avg_price_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod_short_avg_price);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_short_avg_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod_short_avg_pnl);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_net_pos_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod.net_pos);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_delta_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod.delta);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_gamma_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod.gamma);
@@ -249,10 +254,14 @@ namespace bts.shell.pnl {
 
       /// day
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day_pnl);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_realized_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day_realized_pnl);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_unrealized_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day_unrealized_pnl);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_long_pos_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day_long_pos);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_long_avg_price_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day_long_avg_price);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_long_avg_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day_long_avg_pnl);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_short_pos_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day_short_pos);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_short_avg_price_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day_short_avg_price);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_short_avg_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day_short_avg_pnl);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_net_pos_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day_net_pos);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_delta_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day.delta);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_gamma_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day.gamma);
@@ -267,10 +276,14 @@ namespace bts.shell.pnl {
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> working_net_pos_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.working_net_pos);
       /// total
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_pnl);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_realized_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_realized_pnl);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_unrealized_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_unrealized_pnl);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_long_pos_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_long_pos);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_long_avg_price_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_long_avg_price);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_long_avg_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_long_avg_pnl);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_short_pos_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_short_pos);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_short_avg_price_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_short_avg_price);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_short_avg_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_short_avg_pnl);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_net_pos_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_net_pos);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_delta_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_delta);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_gamma_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_gamma);
@@ -310,6 +323,8 @@ namespace bts.shell.pnl {
          cpp = cpp_filter.get_state(),
          /// sod
          sod_pnl = sod_pnl_filter.get_state(),
+         sod_realized_pnl = sod_realized_pnl_filter.get_state(),
+         sod_unrealized_pnl = sod_unrealized_pnl_filter.get_state(),
          sod_long_pos = sod_long_pos_filter.get_state(),
          sod_long_avg_price = sod_long_avg_price_filter.get_state(),
          sod_short_pos = sod_short_pos_filter.get_state(),
@@ -321,10 +336,14 @@ namespace bts.shell.pnl {
          sod_theta = sod_theta_filter.get_state(),
          /// day
          day_pnl = day_pnl_filter.get_state(),
+         day_realized_pnl = day_realized_pnl_filter.get_state(),
+         day_unrealized_pnl = day_unrealized_pnl_filter.get_state(),
          day_long_pos = day_long_pos_filter.get_state(),
          day_long_avg_price = day_long_avg_price_filter.get_state(),
+         day_long_avg_pnl = day_long_avg_price_filter.get_state(),
          day_short_pos = day_short_pos_filter.get_state(),
          day_short_avg_price = day_short_avg_price_filter.get_state(),
+         day_short_avg_pnl = day_short_avg_pnl_filter.get_state(),
          day_net_pos = day_net_pos_filter.get_state(),
          day_delta = day_delta_filter.get_state(),
          day_gamma = day_gamma_filter.get_state(),
@@ -333,6 +352,8 @@ namespace bts.shell.pnl {
          has_day_trades = has_day_trades_filter.get_state(),
          /// total
          total_pnl = total_pnl_filter.get_state(),
+         total_realized_pnl = total_realized_pnl_filter.get_state(),
+         total_unrealized_pnl = total_unrealized_pnl_filter.get_state(),
          total_long_pos = total_long_pos_filter.get_state(),
          total_long_avg_price = total_long_avg_price_filter.get_state(),
          total_short_pos = total_short_pos_filter.get_state(),
@@ -375,6 +396,8 @@ namespace bts.shell.pnl {
                cpp_filter.load_state(f.cpp);
                /// sod
                sod_pnl_filter.load_state(f.sod_pnl);
+               sod_realized_pnl_filter.load_state(f.sod_realized_pnl);
+               sod_unrealized_pnl_filter.load_state(f.sod_unrealized_pnl);
                sod_long_pos_filter.load_state(f.sod_long_pos);
                sod_long_avg_price_filter.load_state(f.sod_long_avg_price);
                sod_short_pos_filter.load_state(f.sod_short_pos);
@@ -383,6 +406,8 @@ namespace bts.shell.pnl {
                sod_delta_filter.load_state(f.sod_delta);
                /// day
                day_pnl_filter.load_state(f.day_pnl);
+               day_realized_pnl_filter.load_state(f.day_realized_pnl);
+               day_unrealized_pnl_filter.load_state(f.day_unrealized_pnl);
                day_long_pos_filter.load_state(f.day_long_pos);
                day_long_avg_price_filter.load_state(f.day_long_avg_price);
                day_short_pos_filter.load_state(f.day_short_pos);
@@ -391,6 +416,8 @@ namespace bts.shell.pnl {
                has_day_trades_filter.load_state(f.has_day_trades);
                /// total
                total_pnl_filter.load_state(f.total_pnl);
+               total_realized_pnl_filter.load_state(f.total_realized_pnl);
+               total_unrealized_pnl_filter.load_state(f.total_unrealized_pnl);
                total_long_pos_filter.load_state(f.total_long_pos);
                total_long_avg_price_filter.load_state(f.total_long_avg_price);
                total_short_pos_filter.load_state(f.total_short_pos);
@@ -566,10 +593,14 @@ namespace bts.shell.pnl {
             case ColumnKeys.CPP: return wrap(r => r.cpp);
             /// SOD
             case ColumnKeys.SODPNL: return wrap(r => r.sod_pnl);
+            case ColumnKeys.SODRealizedPNL: return wrap(r => r.sod_realized_pnl);
+            case ColumnKeys.SODUnrealizedPNL: return wrap(r => r.sod_unrealized_pnl);
             case ColumnKeys.SODLongPos: return wrap(r => r.sod_long_pos);
             case ColumnKeys.SODLongAvgPrice: return wrap(r => r.sod_long_avg_price);
+            case ColumnKeys.SODLongAvgPNL: return wrap(r => r.sod_long_avg_pnl);
             case ColumnKeys.SODShortPos: return wrap(r => r.sod_short_pos);
             case ColumnKeys.SODShortAvgPrice: return wrap(r => r.sod_short_avg_price);
+            case ColumnKeys.SODShortAvgPNL: return wrap(r => r.sod_short_avg_pnl);
             case ColumnKeys.SODNetPos: return wrap(r => r.sod_net_pos);
             case ColumnKeys.SODDelta: return wrap(r => r.sod_delta);
             case ColumnKeys.SODGamma: return wrap(r => r.sod_gamma);
@@ -577,10 +608,14 @@ namespace bts.shell.pnl {
             case ColumnKeys.SODTheta: return wrap(r => r.sod_theta);
             /// Day
             case ColumnKeys.DayPNL: return wrap(r => r.day_pnl);
+            case ColumnKeys.DayRealizedPNL: return wrap(r => r.day_realized_pnl);
+            case ColumnKeys.DayUnrealizedPNL: return wrap(r => r.day_unrealized_pnl);
             case ColumnKeys.DayLongPos: return wrap(r => r.day_long_pos);
             case ColumnKeys.DayLongAvgPrice: return wrap(r => r.day_long_avg_price);
+            case ColumnKeys.DayLongAvgPNL: return wrap(r => r.day_long_avg_pnl);
             case ColumnKeys.DayShortPos: return wrap(r => r.day_short_pos);
             case ColumnKeys.DayShortAvgPrice: return wrap(r => r.day_short_avg_price);
+            case ColumnKeys.DayShortAvgPNL: return wrap(r => r.day_short_avg_pnl);
             case ColumnKeys.DayNetPos: return wrap(r => r.day_net_pos);
             case ColumnKeys.DayDelta: return wrap(r => r.day_delta);
             case ColumnKeys.DayGamma: return wrap(r => r.day_gamma);
@@ -589,10 +624,14 @@ namespace bts.shell.pnl {
             case ColumnKeys.HasDayTrades: return wrap(r => r.has_day_trades);
             /// Total
             case ColumnKeys.TotalPNL: return wrap(r => r.total_pnl);
+            case ColumnKeys.TotalRealizedPNL: return wrap(r => r.total_realized_pnl);
+            case ColumnKeys.TotalUnrealizedPNL: return wrap(r => r.total_unrealized_pnl);
             case ColumnKeys.TotalLongPos: return wrap(r => r.total_long_pos);
             case ColumnKeys.TotalLongAvgPrice: return wrap(r => r.total_long_avg_price);
+            case ColumnKeys.TotalLongAvgPNL: return wrap(r => r.total_long_avg_pnl);
             case ColumnKeys.TotalShortPos: return wrap(r => r.total_short_pos);
             case ColumnKeys.TotalShortAvgPrice: return wrap(r => r.total_short_avg_price);
+            case ColumnKeys.TotalShortAvgPNL: return wrap(r => r.total_short_avg_pnl);
             case ColumnKeys.TotalNetPos: return wrap(r => r.total_net_pos);
             case ColumnKeys.TotalDelta: return wrap(r => r.total_delta);
             case ColumnKeys.TotalGamma: return wrap(r => r.total_gamma);
@@ -627,13 +666,13 @@ namespace bts.shell.pnl {
             yield return col_hash.Contains(c.id) ? c.with(is_visible: false) : c;
       }
 
-      static IObservable<TableUpdate<DateTime, DateTime>> _expirations_source(
+      static IObservable<TableUpdate<ExpirationDate, ExpirationDate>> _expirations_source(
          IObservable<TableUpdate<PNLRowData, PNLKey>> pnl_source) =>
          pnl_source
             .StartWith(TableUpdate<PNLRowData, PNLKey>.mk_empty(PNLRowData.key_fn))
             .distinct_on(
-               PNLRowData.key_fn, r => r.expiration, e => e, EqualityComparer<DateTime>.Default)
-            .Filter(e => e != DateTime.MinValue);
+               PNLRowData.key_fn, r => r.expiration, e => e, EqualityComparer<ExpirationDate>.Default)
+            .Filter(e => e != ExpirationDate.None);
 
       // combines the known system symbols
       static IObservable<TableUpdate<string, string>> _symbols_source(IObservable<TableUpdate<PNLRowData, PNLKey>> pnl_source) =>
@@ -707,7 +746,7 @@ namespace bts.shell.pnl {
                   filter.security = SecurityCriteria.from_securities(sec));
                break;
             case ColumnKeys.Expiration:
-               try_set_filter_prop<DateTime>(exp_date => filter.exp_date = exp_date);
+               try_set_filter_prop<ExpirationDate>(exp_date => filter.exp_date = exp_date);
                break;
             default:
                throw new NotImplementedException();
@@ -774,6 +813,17 @@ namespace bts.shell.pnl {
             case ColumnKeys.Account: filter.accounts = new[] { g.Name.ToString() }; break;
             case ColumnKeys.Symbol: filter.symbols = new[] { g.Name.ToString() }; break;
             case ColumnKeys.Exchange: filter.exchanges = new[] { (Venue)g.Name }; break;
+            case ColumnKeys.Expiration: {
+                  if (g.Name is ExpirationDate exp) {
+                     if (filter.security_criteria is null) {
+                        filter.security_criteria = SecurityCriteria.from_expirations(exp);
+                     } else {
+                        filter.security_criteria.clauses = ArrayHelper.add(
+                           filter.security_criteria.clauses, SecurityCriteriaClause.from_expirations(exp));
+                     }
+                  }
+                  break;
+               }
             case ColumnKeys.Security:
                if (g.Name is SecurityImmutable sec)
                   filter.security_criteria = SecurityCriteria.from_securities(sec);

src/client/spark/Modules/Trading/PNL/View/PNLView.xaml

@@ -570,6 +570,8 @@
           </TextBlock>
           <!--SOD-->
           <c:TextCell c:DIYGrid.ColumnKey="SODPNL" DataContext="{Binding total_aggregate.sod_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="SODRealizedPNL" DataContext="{Binding total_aggregate.sod_realized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="SODUnrealizedPNL" DataContext="{Binding total_aggregate.sod_unrealized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="SODNetPos" DataContext="{Binding total_aggregate.sod_net_pos}" Style="{StaticResource TotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="SODLongPos" DataContext="{Binding total_aggregate.sod_long_pos}" Style="{StaticResource TotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="SODShortPos" DataContext="{Binding total_aggregate.sod_short_pos}" Style="{StaticResource TotalRowHyperlinkCell}"/>
@@ -580,6 +582,8 @@
 
           <!--Day-->
           <c:TextCell c:DIYGrid.ColumnKey="DayPNL" DataContext="{Binding total_aggregate.day_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="DayRealizedPNL" DataContext="{Binding total_aggregate.day_realized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="DayUnrealizedPNL" DataContext="{Binding total_aggregate.day_unrealized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="DayNetPos" DataContext="{Binding total_aggregate.day_net_pos}" Style="{StaticResource TotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="DayLongPos" DataContext="{Binding total_aggregate.day_long_pos}" Style="{StaticResource TotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="DayShortPos" DataContext="{Binding total_aggregate.day_short_pos}" Style="{StaticResource TotalRowHyperlinkCell}"/>
@@ -598,6 +602,8 @@
           <c:HyperlinkCell c:DIYGrid.ColumnKey="WorkingShortPos" DataContext="{Binding total_aggregate.working_short_pos}" Style="{StaticResource TotalRowHyperlinkCell}"/>
           <!--Total-->
           <c:TextCell c:DIYGrid.ColumnKey="TotalPNL" DataContext="{Binding total_aggregate.total_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="TotalRealizedPNL" DataContext="{Binding total_aggregate.total_realized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="TotalUnrealizedPNL" DataContext="{Binding total_aggregate.total_unrealized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalNetPos" DataContext="{Binding total_aggregate.total_net_pos}" Style="{StaticResource TotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalLongPos" DataContext="{Binding total_aggregate.total_long_pos}" Style="{StaticResource TotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalShortPos" DataContext="{Binding total_aggregate.total_short_pos}" Style="{StaticResource TotalRowHyperlinkCell}"/>
@@ -632,6 +638,8 @@
           <TextBlock Text="{Binding selected_rows.Count, StringFormat='Selected ({0})'}" Style="{StaticResource HeaderRowHeaderText}"/>
           <!--SOD-->
           <c:TextCell c:DIYGrid.ColumnKey="SODPNL" DataContext="{Binding selected_aggregate.sod_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="SODRealizedPNL" DataContext="{Binding selected_aggregate.sod_realized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="SODUnrealizedPNL" DataContext="{Binding selected_aggregate.sod_unrealized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="SODNetPos" DataContext="{Binding selected_aggregate.sod_net_pos}" Style="{StaticResource SelectedTotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="SODLongPos" DataContext="{Binding selected_aggregate.sod_long_pos}" Style="{StaticResource SelectedTotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="SODShortPos" DataContext="{Binding selected_aggregate.sod_short_pos}" Style="{StaticResource SelectedTotalRowHyperlinkCell}"/>
@@ -642,6 +650,8 @@
 
           <!--Day-->
           <c:TextCell c:DIYGrid.ColumnKey="DayPNL" DataContext="{Binding selected_aggregate.day_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="DayRealizedPNL" DataContext="{Binding selected_aggregate.day_realized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="DayUnrealizedPNL" DataContext="{Binding selected_aggregate.day_unrealized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="DayNetPos" DataContext="{Binding selected_aggregate.day_net_pos}" Style="{StaticResource SelectedTotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="DayLongPos" DataContext="{Binding selected_aggregate.day_long_pos}" Style="{StaticResource SelectedTotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="DayShortPos" DataContext="{Binding selected_aggregate.day_short_pos}" Style="{StaticResource SelectedTotalRowHyperlinkCell}"/>
@@ -660,6 +670,8 @@
           <c:HyperlinkCell c:DIYGrid.ColumnKey="WorkingShortPos" DataContext="{Binding selected_aggregate.working_short_pos}" Style="{StaticResource SelectedTotalRowHyperlinkCell}"/>
           <!--Total-->
           <c:TextCell c:DIYGrid.ColumnKey="TotalPNL" DataContext="{Binding selected_aggregate.total_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="TotalRealizedPNL" DataContext="{Binding selected_aggregate.total_realized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="TotalUnrealizedPNL" DataContext="{Binding selected_aggregate.total_unrealized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalNetPos" DataContext="{Binding selected_aggregate.total_net_pos}" Style="{StaticResource SelectedTotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalLongPos" DataContext="{Binding selected_aggregate.total_long_pos}" Style="{StaticResource SelectedTotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalShortPos" DataContext="{Binding selected_aggregate.total_short_pos}" Style="{StaticResource SelectedTotalRowHyperlinkCell}"/>
@@ -791,6 +803,26 @@
               data_member_path="sod_pnl"
               Header="SOD PnL"
             />
+            <!--SOD Realized PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.sod_realized_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.sod_realized_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.sod_realized_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="SODRealizedPNL"
+              data_member_path="sod_realized_pnl"
+              Header="SOD Realized PnL"
+            />
+            <!--SOD Unrealized PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.sod_unrealized_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.sod_unrealized_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.sod_unrealized_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="SODUnrealizedPNL"
+              data_member_path="sod_unrealized_pnl"
+              Header="SOD Unrealized PnL"
+            />
             <!--SOD Net Pos-->
             <pnl:PNLColumn
               c:DataGridFilterProperties.Filter="{Binding DataContext.sod_net_pos_filter, Source={u:DirectReference _grid}}"
@@ -819,6 +851,15 @@
               key="SODLongAvgPrice"
               data_member_path="sod_long_avg_price"
             />
+            <!--SOD Long Avg PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.sod_long_avg_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.sod_long_avg_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.sod_long_avg_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="SODLongAvgPNL"
+              data_member_path="sod_long_avg_pnl"
+            />
             <!--SOD Short Pos-->
             <pnl:PNLColumn
               c:DataGridFilterProperties.Filter="{Binding DataContext.sod_short_pos_filter, Source={u:DirectReference _grid}}"
@@ -837,6 +878,15 @@
               key="SODShortAvgPrice"
               data_member_path="sod_short_avg_price"
             />
+            <!--SOD Short Avg PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.sod_short_avg_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.sod_short_avg_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.sod_short_avg_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="SODShortAvgPNL"
+              data_member_path="sod_short_avg_pnl"
+            />
             <!--SOD Delta-->
             <pnl:PNLColumn
               c:DataGridFilterProperties.Filter="{Binding DataContext.sod_delta_filter, Source={u:DirectReference _grid}}"
@@ -880,6 +930,26 @@
               data_member_path="day_pnl"
               sort_member_path="day_pnl"
             />
+            <!--Day Realized PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.day_realized_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.day_realized_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.day_realized_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="DayRealizedPNL"
+              data_member_path="day_realized_pnl"
+              Header="Day Realized PnL"
+            />
+            <!--Day Unrealized PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.day_unrealized_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.day_unrealized_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.day_unrealized_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="DayUnrealizedPNL"
+              data_member_path="day_unrealized_pnl"
+              Header="Day Unrealized PnL"
+            />
             <!--Day Net Pos-->
             <pnl:PNLColumn
               c:DataGridFilterProperties.Filter="{Binding DataContext.day_net_pos_filter, Source={u:DirectReference _grid}}"
@@ -910,6 +980,16 @@
               data_member_path="day_long_avg_price"
               sort_member_path="day_long_avg_price"
             />
+            <!--Day Long Avg PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.day_long_avg_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.day_long_avg_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.day_long_avg_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="DayLongAvgPNL"
+              data_member_path="day_long_avg_pnl"
+              sort_member_path="day_long_avg_pnl"
+            />
             <!--Day Delta-->
             <pnl:PNLColumn
               c:DataGridFilterProperties.Filter="{Binding DataContext.day_delta_filter, Source={u:DirectReference _grid}}"
@@ -1012,6 +1092,16 @@
               data_member_path="day_short_avg_price"
               sort_member_path="day_short_avg_price"
             />
+            <!--Day Short Avg PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.day_short_avg_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.day_short_avg_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.day_short_avg_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="DayShortAvgPNL"
+              data_member_path="day_short_avg_pnl"
+              sort_member_path="day_short_avg_pnl"
+            />
             <!--Day Short Pos-->
             <pnl:PNLColumn
               c:DataGridFilterProperties.Filter="{Binding DataContext.day_short_pos_filter, Source={u:DirectReference _grid}}"
@@ -1090,6 +1180,26 @@
               key="TotalPNL"
               data_member_path="total_pnl"
             />
+            <!--Total Realized PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.total_realized_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.total_realized_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.total_realized_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="TotalRealizedPNL"
+              data_member_path="total_realized_pnl"
+              Header="Total Realized PnL"
+            />
+            <!--Total Unrealized PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.total_unrealized_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.total_unrealized_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.total_unrealized_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="TotalUnrealizedPNL"
+              data_member_path="total_unrealized_pnl"
+              Header="Total Unrealized PnL"
+            />
             <!--Total Net Pos-->
             <pnl:PNLColumn
               c:DataGridFilterProperties.Filter="{Binding DataContext.total_net_pos_filter, Source={u:DirectReference _grid}}"
@@ -1120,6 +1230,16 @@
               data_member_path="total_long_avg_price"
               sort_member_path="total_long_avg_price"
             />
+            <!--Total Long Avg PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.total_long_avg_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.total_long_avg_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.total_long_avg_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="TotalLongAvgPNL"
+              data_member_path="total_long_avg_pnl"
+              sort_member_path="total_long_avg_pnl"
+            />
             <!--Total Short Pos-->
             <pnl:PNLColumn
               c:DataGridFilterProperties.Filter="{Binding DataContext.total_short_pos_filter, Source={u:DirectReference _grid}}"
@@ -1140,6 +1260,16 @@
               data_member_path="total_short_avg_price"
               sort_member_path="total_short_avg_price"
             />
+            <!--Total Short Avg PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.total_short_avg_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.total_short_avg_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.total_short_avg_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="TotalShortAvgPNL"
+              data_member_path="total_short_avg_pnl"
+              sort_member_path="total_short_avg_pnl"
+            />
             <!--Total Delta-->
             <pnl:PNLColumn
               c:DataGridFilterProperties.Filter="{Binding DataContext.total_delta_filter, Source={u:DirectReference _grid}}"
@@ -1198,11 +1328,15 @@
               <c:TextCell c:DIYGrid.ColumnKey="CPP" DataContext="{Binding cpp}" Style="{StaticResource RowTextCell}"/>
               <!--SOD-->
               <c:TextCell c:DIYGrid.ColumnKey="SODPNL" DataContext="{Binding sod_pnl}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="SODRealizedPNL" DataContext="{Binding sod_realized_pnl}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="SODUnrealizedPNL" DataContext="{Binding sod_unrealized_pnl}" Style="{StaticResource RowTextCell}"/>
               <c:HyperlinkCell c:DIYGrid.ColumnKey="SODNetPos" DataContext="{Binding sod_net_pos}" Style="{StaticResource RowHyperlinkCell}"/>
               <c:HyperlinkCell c:DIYGrid.ColumnKey="SODLongPos" DataContext="{Binding sod_long_pos}" Style="{StaticResource RowHyperlinkCell}"/>
               <c:TextCell c:DIYGrid.ColumnKey="SODLongAvgPrice" DataContext="{Binding sod_long_avg_price}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="SODLongAvgPNL" DataContext="{Binding sod_long_avg_pnl}" Style="{StaticResource RowTextCell}"/>
               <c:HyperlinkCell c:DIYGrid.ColumnKey="SODShortPos" DataContext="{Binding sod_short_pos}" Style="{StaticResource RowHyperlinkCell}"/>
               <c:TextCell c:DIYGrid.ColumnKey="SODShortAvgPrice" DataContext="{Binding sod_short_avg_price}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="SODShortAvgPNL" DataContext="{Binding sod_short_avg_pnl}" Style="{StaticResource RowTextCell}"/>
               <c:TextCell
                 c:DIYGrid.ColumnKey="SODDelta"
                 DataContext="{Binding sod_delta}"
@@ -1222,11 +1356,15 @@
 
               <!--Day-->
               <c:TextCell c:DIYGrid.ColumnKey="DayPNL" DataContext="{Binding day_pnl}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="DayRealizedPNL" DataContext="{Binding day_realized_pnl}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="DayUnrealizedPNL" DataContext="{Binding day_unrealized_pnl}" Style="{StaticResource RowTextCell}"/>
               <c:HyperlinkCell c:DIYGrid.ColumnKey="DayNetPos" DataContext="{Binding day_net_pos}" Style="{StaticResource RowHyperlinkCell}"/>
               <c:HyperlinkCell c:DIYGrid.ColumnKey="DayLongPos" DataContext="{Binding day_long_pos}" Style="{StaticResource RowHyperlinkCell}"/>
               <c:TextCell c:DIYGrid.ColumnKey="DayLongAvgPrice" DataContext="{Binding day_long_avg_price}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="DayLongAvgPNL" DataContext="{Binding day_long_avg_pnl}" Style="{StaticResource RowTextCell}"/>
               <c:HyperlinkCell c:DIYGrid.ColumnKey="DayShortPos" DataContext="{Binding day_short_pos}" Style="{StaticResource RowHyperlinkCell}"/>
               <c:TextCell c:DIYGrid.ColumnKey="DayShortAvgPrice" DataContext="{Binding day_short_avg_price}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="DayShortAvgPNL" DataContext="{Binding day_short_avg_pnl}" Style="{StaticResource RowTextCell}"/>
               <c:TextCell
                 c:DIYGrid.ColumnKey="DayDelta"
                 DataContext="{Binding day_delta}"
@@ -1257,6 +1395,9 @@
               <c:TextCell c:DIYGrid.ColumnKey="LastPrice" DataContext="{Binding last_price}" Style="{StaticResource RowTextCell}"/>
               <c:TextCell c:DIYGrid.ColumnKey="SettlementPrice" DataContext="{Binding settlement_price}" Style="{StaticResource RowTextCell}"/>
               <c:TextCell c:DIYGrid.ColumnKey="PNLPrice" DataContext="{Binding pnl_price}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="BidPrice" DataContext="{Binding bid_price}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="AskPrice" DataContext="{Binding ask_price}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="MidPrice" DataContext="{Binding mid_price}" Style="{StaticResource RowTextCell}"/>
               <!--Working-->
               <c:HyperlinkCell c:DIYGrid.ColumnKey="WorkingNetPos" DataContext="{Binding working_net_pos}" Style="{StaticResource RowHyperlinkCell}"/>
               <c:HyperlinkCell c:DIYGrid.ColumnKey="WorkingLongPos" DataContext="{Binding working_long_pos}" Style="{StaticResource RowHyperlinkCell}"/>
@@ -1265,11 +1406,15 @@
               <c:TextCell c:DIYGrid.ColumnKey="WorkingShortAvgPrice" DataContext="{Binding working_short_avg_price}" Style="{StaticResource RowTextCell}"/>
               <!--Total-->
               <c:TextCell c:DIYGrid.ColumnKey="TotalPNL" DataContext="{Binding total_pnl}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="TotalRealizedPNL" DataContext="{Binding total_realized_pnl}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="TotalUnrealizedPNL" DataContext="{Binding total_unrealized_pnl}" Style="{StaticResource RowTextCell}"/>
               <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalNetPos" DataContext="{Binding total_net_pos}" Style="{StaticResource RowHyperlinkCell}"/>
               <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalLongPos" DataContext="{Binding total_long_pos}" Style="{StaticResource RowHyperlinkCell}"/>
               <c:TextCell c:DIYGrid.ColumnKey="TotalLongAvgPrice" DataContext="{Binding total_long_avg_price}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="TotalLongAvgPNL" DataContext="{Binding total_long_avg_pnl}" Style="{StaticResource RowTextCell}"/>
               <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalShortPos" DataContext="{Binding total_short_pos}" Style="{StaticResource RowHyperlinkCell}"/>
               <c:TextCell c:DIYGrid.ColumnKey="TotalShortAvgPrice" DataContext="{Binding total_short_avg_price}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="TotalShortAvgPNL" DataContext="{Binding total_short_avg_pnl}" Style="{StaticResource RowTextCell}"/>
               <c:TextCell
                 c:DIYGrid.ColumnKey="TotalDelta"
                 DataContext="{Binding total_delta}"
@@ -1360,6 +1505,8 @@
                         </Grid>
                         <!--SOD-->
                         <c:TextCell c:DIYGrid.ColumnKey="SODPNL" DataContext="{Binding sod_pnl}" Style="{StaticResource GroupRowTextCell}"/>
+                        <c:TextCell c:DIYGrid.ColumnKey="SODRealizedPNL" DataContext="{Binding sod_realized_pnl}" Style="{StaticResource GroupRowTextCell}"/>
+                        <c:TextCell c:DIYGrid.ColumnKey="SODUnrealizedPNL" DataContext="{Binding sod_unrealized_pnl}" Style="{StaticResource GroupRowTextCell}"/>
                         <c:HyperlinkCell c:DIYGrid.ColumnKey="SODNetPos" DataContext="{Binding sod_net_pos}" Style="{StaticResource GroupRowHyperlinkCell}"/>
                         <c:HyperlinkCell c:DIYGrid.ColumnKey="SODLongPos" DataContext="{Binding sod_long_pos}" Style="{StaticResource GroupRowHyperlinkCell}"/>
                         <c:HyperlinkCell c:DIYGrid.ColumnKey="SODShortPos" DataContext="{Binding sod_short_pos}" Style="{StaticResource GroupRowHyperlinkCell}"/>
@@ -1370,6 +1517,8 @@
 
                         <!--Day-->
                         <c:TextCell c:DIYGrid.ColumnKey="DayPNL" DataContext="{Binding day_pnl}" Style="{StaticResource GroupRowTextCell}"/>
+                        <c:TextCell c:DIYGrid.ColumnKey="DayRealizedPNL" DataContext="{Binding day_realized_pnl}" Style="{StaticResource GroupRowTextCell}"/>
+                        <c:TextCell c:DIYGrid.ColumnKey="DayUnrealizedPNL" DataContext="{Binding day_unrealized_pnl}" Style="{StaticResource GroupRowTextCell}"/>
                         <c:HyperlinkCell c:DIYGrid.ColumnKey="DayNetPos" DataContext="{Binding day_net_pos}" Style="{StaticResource GroupRowHyperlinkCell}"/>
                         <c:HyperlinkCell c:DIYGrid.ColumnKey="DayLongPos" DataContext="{Binding day_long_pos}" Style="{StaticResource GroupRowHyperlinkCell}"/>
                         <c:HyperlinkCell c:DIYGrid.ColumnKey="DayShortPos" DataContext="{Binding day_short_pos}" Style="{StaticResource GroupRowHyperlinkCell}"/>
@@ -1384,6 +1533,8 @@
                         <c:HyperlinkCell c:DIYGrid.ColumnKey="WorkingShortPos" DataContext="{Binding working_short_pos}" Style="{StaticResource GroupRowHyperlinkCell}"/>
                         <!--Total-->
                         <c:TextCell c:DIYGrid.ColumnKey="TotalPNL" DataContext="{Binding total_pnl}" Style="{StaticResource GroupRowTextCell}"/>
+                        <c:TextCell c:DIYGrid.ColumnKey="TotalRealizedPNL" DataContext="{Binding total_realized_pnl}" Style="{StaticResource GroupRowTextCell}"/>
+                        <c:TextCell c:DIYGrid.ColumnKey="TotalUnrealizedPNL" DataContext="{Binding total_unrealized_pnl}" Style="{StaticResource GroupRowTextCell}"/>
                         <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalNetPos" DataContext="{Binding total_net_pos}" Style="{StaticResource GroupRowHyperlinkCell}"/>
                         <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalLongPos" DataContext="{Binding total_long_pos}" Style="{StaticResource GroupRowHyperlinkCell}"/>
                         <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalShortPos" DataContext="{Binding total_short_pos}" Style="{StaticResource GroupRowHyperlinkCell}"/>

src/client/spark/Modules/Trading/PNL/View/PNLView.xaml.cs

@@ -1,427 +1,439 @@
-namespace bts.shell.pnl {
-   using bts.collections;
-
-   using mbts.collections;
-   using mbts.spark;
-   using mbts.ui;
-   using mbts.ui.controls;
-   using mbts.ui.converters;
-   using mbts.ui.dpi;
-   using mbts.ui.extensions;
-   using mbts.ui.spark;
-   using mbts.ui.utility;
-   using mbts.utils;
-
-   using Spark.Core.Disposables;
-
-   using System;
-   using System.Collections.Generic;
-   using System.Collections.ObjectModel;
-   using System.Collections.Specialized;
-   using System.ComponentModel;
-   using System.Linq;
-   using System.Windows;
-   using System.Windows.Controls;
-   using System.Windows.Data;
-   using System.Windows.Input;
-   using System.Windows.Media;
-
-   enum PNLHeaderRowDisplay {
-      None,
-      Total,
-      SelectedTotal
-   }
-
-   partial class PNLView : UserControl {
-      public static readonly double
-         MinGroupRowHeight = 24.0.RoundLayoutValue(),
-         MinHeaderRowHeight = 24.0.RoundLayoutValue();
-      DIYGridPopupManager _popup_man_backing;
-
-      public enum Columns {
-         Account = 1,
-         // Security
-         Exchange,
-         Symbol,
-         Expiration,
-         SecurityType,
-         Security,
-         SecurityKey,
-         CPP,
-         // SOD
-         SODPNL,
-         SODLongPos,
-         SODLongAvgPrice,
-         SODShortPos,
-         SODShortAvgPrice,
-         SODNetPos,
-         SODDelta,
-         SODGamma,
-         SODVega,
-         SODTheta,
-         // Day
-         DayPNL,
-         DayLongPos,
-         DayLongAvgPrice,
-         DayShortAvgPrice,
-         DayShortPos,
-         DayDelta,
-         DayGamma,
-         DayVega,
-         DayTheta,
-         DayCalcType,
-         DayNetPos,
-         HasDayTrades,
-         // Raw Day
-         RawDayLongPos,
-         RawDayShortPos,
-         RawDayNetPos,
-         // Working
-         WorkingLongPos,
-         WorkingLongAvgPrice,
-         WorkingShortPos,
-         WorkingShortAvgPrice,
-         WorkingNetPos,
-         // Total
-         TotalPNL,
-         TotalLongPos,
-         TotalLongAvgPrice,
-         TotalShortPos,
-         TotalShortAvgPrice,
-         TotalNetPos,
-         TotalDelta,
-         TotalGamma,
-         TotalVega,
-         TotalTheta,
-         // Market
-         BidPrice,
-         MidPrice,
-         AskPrice,
-         LastPrice,
-         SettlementPrice,
-         PNLPrice
-      }
-
-      public static readonly IValueConverter
-         IncrementalGroupLevelConverter = ValueConverter.create<int, int>(level => level + 1),
-         GroupLevelMarginConverter = ValueConverter.create<int, Thickness>(level => new Thickness(24 * level, 0, 0, 0)),
-         HeaderRowHeightConverter = new RangeBlockConverter<double> { Minimum = MinHeaderRowHeight },
-         ExpandedVisualStateConverter = ValueConverter.create<bool, string>(is_expanded => is_expanded ? "Expanded" : "Collapsed");
-
-      public static readonly IMultiValueConverter
-         TotalHeaderRowDisplayTextConverter = ValueConverter.create<int, int, string>((filtered, total) => $"Total ({(filtered == total ? total.ToString() : $"{filtered}/{total}")})"),
-         CellParamsConverter = ValueConverter.create<object, Columns, PNLCell>((item, col) => new PNLCell(item, col));
-
-      public static readonly RoutedCommand CellClickCommand = new RoutedCommand();
-
-      static readonly string _node_path_separator = $" {SpecialCharacters.Dot} ";
-
-      IDisposable _anchors_hook, _animations_hook;
-      int _anchor_version;
-
-      public PNLView() {
-         SetCurrentValue(AnchorIndexProperty, new AnchorIndex());
-         InitializeComponent();
-         SetBinding(AnchorsProperty, new Binding(nameof(PNLVM.anchors)));
-         _grid.ConnectOnLoaded(() => {
-            if (_grid.try_find_descendent_of_type(out DIYGridRowsPresenter presenter)) {
-               presenter.GroupItemSelectionPivot += on_group_item_selection_pivot;
-               return Disposable.Create(() => presenter.GroupItemSelectionPivot -= on_group_item_selection_pivot);
-            }
-            return null;
-         });
-         void on_group_item_selection_pivot(object sender, GroupItemSelectionPivotEventArgs e) =>
-            e.Handled = e.group_item is PNLRowCollectionViewGroup pnl_group && pnl_group.is_expanded;
-      }
-
-      public new PNLVM DataContext {
-         get => base.DataContext as PNLVM;
-         set => base.DataContext = value;
-      }
-
-      public bool EnableAnimations {
-         get => _animations_hook != null;
-         set {
-            if (EnableAnimations != value) {
-               if (_animations_hook == null) {
-                  _animations_hook = AdornerHelper.attach_continuously_on_loaded(
-                     () => new GridAnimation.DIYGridAnimationAdorner<Columns>(_grid, _grid.descendants_of_type<DIYGridRowsPresenter>().First()),
-                     _grid);
-               } else {
-                  _animations_hook.Dispose();
-                  _animations_hook = null;
-               }
-            }
-         }
-      }
-
-      #region AnchorIndex
-      public static readonly DependencyProperty AnchorIndexProperty =
-         WPFHelper.create_dp<AnchorIndex, PNLView>(
-            nameof(AnchorIndex),
-            (o, v) => v?.reset(o?.Anchors));
-
-      public AnchorIndex AnchorIndex {
-         get => GetValue(AnchorIndexProperty) as AnchorIndex;
-         set => SetValue(AnchorIndexProperty, value);
-      }
-      #endregion
-
-      #region GroupLevel
-      public static readonly DependencyProperty GroupLevelProperty =
-         DependencyProperty.RegisterAttached(
-            "GroupLevel",
-            typeof(int),
-            typeof(PNLView),
-            new PropertyMetadata(0, (d, e) => {
-               if (d is GroupItem group && e.NewValue is int level)
-                  group.SetBinding(DIYGrid.ColumnKeyProperty, new Binding($"{nameof(Anchors)}[{level}]") { RelativeSource = new RelativeSource(RelativeSourceMode.FindAncestor, typeof(PNLView), 1) });
-            }));
-
-      public static int GetGroupLevel(DependencyObject d) => (int)d.GetValue(GroupLevelProperty);
-      public static void SetGroupLevel(DependencyObject d, int value) => d.SetValue(GroupLevelProperty, value);
-
-      void _grid_loaded(object sender, RoutedEventArgs e) {
-         // this is a hack to make room for the 'totals row' between the column headers and the regular rows. 
-         if (_grid.try_find_descendent_of_type(out DIYGridRowsPresenter rp)) {
-            rp.SetBinding(MarginProperty,
-               BindingHelper.create_multi(
-                  ValueConverter.create<PNLHeaderRowDisplay, double, Thickness>((hrd, row_height) => {
-                     double top = 0;
-                     if ((hrd & PNLHeaderRowDisplay.Total) != 0)
-                        top += row_height;
-                     if ((hrd & PNLHeaderRowDisplay.SelectedTotal) != 0)
-                        top += row_height;
-                     return new Thickness(0, top, 0, 0);
-                  }),
-                  new Binding(nameof(PNLVM.header_row_display)),
-                  new Binding {
-                     Path = new PropertyPath(DIYGrid.RowHeightProperty),
-                     Converter = HeaderRowHeightConverter,
-                     Source = _grid
-                  }));
-         }
-      }
-      #endregion
-
-      #region Anchors
-      public static readonly DependencyProperty AnchorsProperty =
-         WPFHelper.create_dp<IEnumerable<Columns>, PNLView>(
-            nameof(Anchors),
-            (o, v) => {
-               if (o?._grid?.Columns is not ObservableCollection<DIYGrid.ColumnBase> cols ||
-                  o?._grid?.Rows is not ICollectionView rows_view ||
-                  v is not INotifyCollectionChanged anchor_notifier ||
-                  v is not IReadOnlyList<Columns> anchor_keys) {
-                  return;
-               }
-
-               int version = ++o._anchor_version;
-               bool busy = false;
-               var pnl_cols = cols.CastObservable<DIYGrid.ColumnBase, PNLColumn>();
-               o._anchors_hook?.Dispose();
-               o._anchors_hook = Disposable.Create(
-                  anchor_notifier.Subscribe((_, __) => {
-                     if (busy)
-                        return;
-                     // invoke async to avoid noisy consecutive resets due to batch changes
-                     busy = true;
-                     o.Dispatcher.InvokeAsync(() => {
-                        sync_anchor_cols();
-                        busy = false;
-                     });
-                  }));
-               o.AnchorIndex?.reset(anchor_keys);
-               sync_anchor_cols();
-               void sync_anchor_cols() {
-                  // since reset is invoked asynchronously, need to check we are still the latest version.
-                  if (o._anchor_version != version)
-                     return;
-                  o.AnchorIndex?.reset(anchor_keys);
-                  // move all the anchor columns to the left, ordered by anchor position (grouping hierarchy).
-                  for (int i = 0; i < anchor_keys.Count; i++) {
-                     if (pnl_cols.TryGetFirst(c => c.key == anchor_keys[i], out var match, out int curr_pos)) {
-                        match.is_visible = true;
-                        if (curr_pos != i) {
-                           cols.Move(curr_pos, i);
-                        }
-                        match.anchor_index = i + 1;
-                     }
-                  }
-                  for (int i = anchor_keys.Count; i < pnl_cols.Count; i++) {
-                     pnl_cols[i].anchor_index = null;
-                  }
-                  using (rows_view.DeferRefresh()) {
-                     rows_view.GroupDescriptions.Clear();
-                     var anchor_cols = from key in anchor_keys
-                                       join col in pnl_cols on key equals col.key
-                                       select new PNLGroupDescription(col);
-                     rows_view.GroupDescriptions.AddRange(anchor_cols);
-                  }
-               }
-            });
-
-      public IEnumerable<Columns> Anchors {
-         get => GetValue(AnchorsProperty) as IEnumerable<Columns>;
-         set => SetValue(AnchorsProperty, value);
-      }
-      #endregion
-
-      DIYGridPopupManager _popup_man {
-         get {
-            if (_popup_man_backing == null) {
-               _popup_man_backing = DIYGridPopupManager.create(this);
-            }
-            return _popup_man_backing;
-         }
-      }
-
-      void _cell_click(PNLCell cell) {
-         Log.Ui.info($"PNLCell Click: {cell}.");
-         try {
-            switch (cell.column) {
-               case Columns.SODNetPos:
-               case Columns.SODLongPos:
-               case Columns.SODShortPos:
-               case Columns.DayNetPos:
-               case Columns.DayLongPos:
-               case Columns.DayShortPos:
-               case Columns.RawDayNetPos:
-               case Columns.RawDayLongPos:
-               case Columns.RawDayShortPos:
-               case Columns.TotalNetPos:
-               case Columns.TotalLongPos:
-               case Columns.TotalShortPos: {
-                     var oneof = cell.oneof();
-                     if (oneof == null)
-                        return;
-                     var (vm, context, title, fg) = cell.oneof().Match(_row_fills, _group_fills, _header_fills);
-                     _show_auxiliary_popup(vm, context, title, fg);
-                  }
-                  break;
-               case Columns.WorkingNetPos:
-               case Columns.WorkingLongPos:
-               case Columns.WorkingShortPos: {
-                     var (vm, context, title, fg) = cell.oneof().Match(_orderbook_params, _orderbook_params, _orderbook_params);
-                     _show_auxiliary_popup(vm, context, title, fg);
-                  }
-                  break;
-            }
-         } catch (Exception ex) {
-            Log.Ui.warn($"{nameof(PNLView)} error on cell click: {ex}.");
-         }
-      }
-
-      #region Fills
-      (FillsVM vm, string context, string title, Color fg) _row_fills(PNLRowCell cell) {
-         var (title_desc, fg) = _fills_title(cell.column);
-         return (DataContext.mk_fills_vm(cell.row, cell.column), $"{cell.row.account_name} {cell.row.security}", title_desc, fg);
-      }
-
-      (FillsVM vm, string context, string title, Color fg) _group_fills(PNLGroupCell cell) {
-         var (title_desc, fg) = _fills_title(cell.column);
-         return (DataContext.mk_fills_vm(cell.group, cell.column), string.Join(_node_path_separator, cell.group.GroupNamePath), title_desc, fg);
-      }
-
-      (FillsVM vm, string context, string title, Color fg) _header_fills(PNLHeaderRowCell cell) {
-         var (title_desc, fg) = _fills_title(cell.column);
-         return (DataContext.mk_fills_vm(cell.header_row, cell.column), EnumHelper.get_display_name(cell.header_row), title_desc, fg);
-      }
-
-      static (string desc, Color fg) _fills_title(Columns key) {
-         switch (key) {
-            case Columns.SODLongPos: return ("Open Buy Fills", BTSColors.MarketData.bid);
-            case Columns.SODShortPos: return ("Open Sell Fills", BTSColors.MarketData.ask);
-            case Columns.SODNetPos: return ("Open Fills", BTSColors.UI.default_text);
-            case Columns.DayLongPos: return ("Day Buy Fills", BTSColors.MarketData.bid);
-            case Columns.DayShortPos: return ("Day Sell Fills", BTSColors.MarketData.ask);
-            case Columns.DayNetPos: return ("Day Fills", BTSColors.UI.default_text);
-            case Columns.RawDayLongPos: return ("Raw Day Buy Fills", BTSColors.MarketData.bid);
-            case Columns.RawDayShortPos: return ("Raw Day Sell Fills", BTSColors.MarketData.ask);
-            case Columns.RawDayNetPos: return ("Raw Day Fills", BTSColors.UI.default_text);
-            case Columns.TotalLongPos: return ("All Buy Fills", BTSColors.MarketData.bid);
-            case Columns.TotalShortPos: return ("All Sell Fills", BTSColors.MarketData.ask);
-            case Columns.TotalNetPos: return ("All Fills", BTSColors.UI.default_text);
-            default: throw ExceptionBuilder.Argument.unexpected_case(key, nameof(key));
-         }
-      }
-      #endregion
-
-      #region OrderBook
-      (OrderBookVM vm, string context, string title, Color fg) _orderbook_params(PNLRowCell cell) {
-         var (title_desc, fg) = _orderbook_title(cell.column);
-         return (DataContext.mk_orderbook_vm(cell.row, cell.column), $"{cell.row.account_name} {cell.row.security}", title_desc, fg);
-      }
-
-      (OrderBookVM vm, string context, string title, Color fg) _orderbook_params(PNLGroupCell cell) {
-         var (title_desc, fg) = _orderbook_title(cell.column);
-         return (DataContext.mk_orderbook_vm(cell.group, cell.column), string.Join(_node_path_separator, cell.group.GroupNamePath), title_desc, fg);
-      }
-
-      (OrderBookVM vm, string context, string title, Color fg) _orderbook_params(PNLHeaderRowCell cell) {
-         var (title_desc, fg) = _orderbook_title(cell.column);
-         return (DataContext.mk_orderbook_vm(cell.header_row, cell.column), EnumHelper.get_display_name(cell.header_row), title_desc, fg);
-      }
-
-      static (string desc, Color fg) _orderbook_title(Columns key) {
-         switch (key) {
-            case Columns.WorkingLongPos: return ("Working Buy Orders", BTSColors.MarketData.bid);
-            case Columns.WorkingShortPos: return ("Working Sell Orders", BTSColors.MarketData.ask);
-            case Columns.WorkingNetPos: return ("Working Orders", BTSColors.UI.default_text);
-            default: throw ExceptionBuilder.Argument.unexpected_case(key, nameof(key));
-         }
-      }
-      #endregion
-
-      void _cell_click_executed(object sender, ExecutedRoutedEventArgs e) {
-         if (e.Parameter is PNLCell cell) {
-            _cell_click(cell);
-         } else Log.Ui.warn($"{nameof(PNLView)} '{nameof(_cell_click_executed)}' parameter should be a {typeof(PNLCell)} (actually '{e.Parameter}').");
-      }
-
-      void _on_group_item_mouse_down(object sender, MouseButtonEventArgs e) {
-         if (!e.Handled && sender is FrameworkElement el && el.DataContext is PNLRowCollectionViewGroup group) {
-            if (e.ClickCount == 2) {
-               group.is_expanded = !group.is_expanded;
-            } else if (el.try_find_ancestor_of_type(out DIYGrid grid) && grid.SelectionMode != SelectionMode.Single) {
-               group.is_all_selected = !group.is_all_selected.GetValueOrDefault();
-            } else {
-               return;
-            }
-            e.Handled = true;
-         }
-      }
-
-      void _show_auxiliary_popup<T>(T content, string context_desc, string title_desc, Color fg) {
-         var view = new HeaderedContentControl {
-            Content = content,
-            Header = new AuxiliaryDataHeader {
-               context = context_desc,
-               title = title_desc,
-               title_foreground = fg
-            },
-            HorizontalAlignment = HorizontalAlignment.Left,
-            VerticalAlignment = VerticalAlignment.Top,
-            Resources = new AuxiliaryDataResources()
-         };
-         view.Style = view.Resources[AuxiliaryDataResources.PopupChildStyleKey] as Style;
-         _popup_man.show(view);
-      }
-
-      class PNLGroupDescription : PropertyGroupDescription, IEquatable<PNLGroupDescription> {
-         public PNLGroupDescription(PNLColumn column) : base(column.data_member_path.Path) =>
-            key = column.key;
-
-         public Columns key { get; }
-
-         public bool Equals(PNLGroupDescription other) =>
-            other != null && key == other.key;
-
-         public override int GetHashCode() =>
-            key.GetHashCode();
-
-         public override bool Equals(object obj) =>
-            Equals(obj as PNLGroupDescription);
-      }
-   }
-}
+namespace bts.shell.pnl {
+   using bts.collections;
+
+   using mbts.collections;
+   using mbts.spark;
+   using mbts.ui;
+   using mbts.ui.controls;
+   using mbts.ui.converters;
+   using mbts.ui.dpi;
+   using mbts.ui.extensions;
+   using mbts.ui.spark;
+   using mbts.ui.utility;
+   using mbts.utils;
+
+   using Spark.Core.Disposables;
+
+   using System;
+   using System.Collections.Generic;
+   using System.Collections.ObjectModel;
+   using System.Collections.Specialized;
+   using System.ComponentModel;
+   using System.Linq;
+   using System.Windows;
+   using System.Windows.Controls;
+   using System.Windows.Data;
+   using System.Windows.Input;
+   using System.Windows.Media;
+
+   enum PNLHeaderRowDisplay {
+      None,
+      Total,
+      SelectedTotal
+   }
+
+   partial class PNLView : UserControl {
+      public static readonly double
+         MinGroupRowHeight = 24.0.RoundLayoutValue(),
+         MinHeaderRowHeight = 24.0.RoundLayoutValue();
+      DIYGridPopupManager _popup_man_backing;
+
+      public enum Columns {
+         Account = 1,
+         // Security
+         Exchange,
+         Symbol,
+         Expiration,
+         SecurityType,
+         Security,
+         SecurityKey,
+         CPP,
+         // SOD
+         SODPNL,
+         SODRealizedPNL,
+         SODUnrealizedPNL,
+         SODLongPos,
+         SODLongAvgPrice,
+         SODLongAvgPNL,
+         SODShortPos,
+         SODShortAvgPrice,
+         SODShortAvgPNL,
+         SODNetPos,
+         SODDelta,
+         SODGamma,
+         SODVega,
+         SODTheta,
+         // Day
+         DayPNL,
+         DayRealizedPNL,
+         DayUnrealizedPNL,
+         DayLongPos,
+         DayLongAvgPrice,
+         DayLongAvgPNL,
+         DayShortPos,
+         DayShortAvgPrice,
+         DayShortAvgPNL,
+         DayDelta,
+         DayGamma,
+         DayVega,
+         DayTheta,
+         DayCalcType,
+         DayNetPos,
+         HasDayTrades,
+         // Raw Day
+         RawDayLongPos,
+         RawDayShortPos,
+         RawDayNetPos,
+         // Working
+         WorkingLongPos,
+         WorkingLongAvgPrice,
+         WorkingShortPos,
+         WorkingShortAvgPrice,
+         WorkingNetPos,
+         // Total
+         TotalPNL,
+         TotalRealizedPNL,
+         TotalUnrealizedPNL,
+         TotalLongPos,
+         TotalLongAvgPrice,
+         TotalLongAvgPNL,
+         TotalShortPos,
+         TotalShortAvgPrice,
+         TotalShortAvgPNL,
+         TotalNetPos,
+         TotalDelta,
+         TotalGamma,
+         TotalVega,
+         TotalTheta,
+         // Market
+         BidPrice,
+         MidPrice,
+         AskPrice,
+         LastPrice,
+         SettlementPrice,
+         PNLPrice
+      }
+
+      public static readonly IValueConverter
+         IncrementalGroupLevelConverter = ValueConverter.create<int, int>(level => level + 1),
+         GroupLevelMarginConverter = ValueConverter.create<int, Thickness>(level => new Thickness(24 * level, 0, 0, 0)),
+         HeaderRowHeightConverter = new RangeBlockConverter<double> { Minimum = MinHeaderRowHeight },
+         ExpandedVisualStateConverter = ValueConverter.create<bool, string>(is_expanded => is_expanded ? "Expanded" : "Collapsed");
+
+      public static readonly IMultiValueConverter
+         TotalHeaderRowDisplayTextConverter = ValueConverter.create<int, int, string>((filtered, total) => $"Total ({(filtered == total ? total.ToString() : $"{filtered}/{total}")})"),
+         CellParamsConverter = ValueConverter.create<object, Columns, PNLCell>((item, col) => new PNLCell(item, col));
+
+      public static readonly RoutedCommand CellClickCommand = new RoutedCommand();
+
+      static readonly string _node_path_separator = $" {SpecialCharacters.Dot} ";
+
+      IDisposable _anchors_hook, _animations_hook;
+      int _anchor_version;
+
+      public PNLView() {
+         SetCurrentValue(AnchorIndexProperty, new AnchorIndex());
+         InitializeComponent();
+         SetBinding(AnchorsProperty, new Binding(nameof(PNLVM.anchors)));
+         _grid.ConnectOnLoaded(() => {
+            if (_grid.try_find_descendent_of_type(out DIYGridRowsPresenter presenter)) {
+               presenter.GroupItemSelectionPivot += on_group_item_selection_pivot;
+               return Disposable.Create(() => presenter.GroupItemSelectionPivot -= on_group_item_selection_pivot);
+            }
+            return null;
+         });
+         void on_group_item_selection_pivot(object sender, GroupItemSelectionPivotEventArgs e) =>
+            e.Handled = e.group_item is PNLRowCollectionViewGroup pnl_group && pnl_group.is_expanded;
+      }
+
+      public new PNLVM DataContext {
+         get => base.DataContext as PNLVM;
+         set => base.DataContext = value;
+      }
+
+      public bool EnableAnimations {
+         get => _animations_hook != null;
+         set {
+            if (EnableAnimations != value) {
+               if (_animations_hook == null) {
+                  _animations_hook = AdornerHelper.attach_continuously_on_loaded(
+                     () => new GridAnimation.DIYGridAnimationAdorner<Columns>(_grid, _grid.descendants_of_type<DIYGridRowsPresenter>().First()),
+                     _grid);
+               } else {
+                  _animations_hook.Dispose();
+                  _animations_hook = null;
+               }
+            }
+         }
+      }
+
+      #region AnchorIndex
+      public static readonly DependencyProperty AnchorIndexProperty =
+         WPFHelper.create_dp<AnchorIndex, PNLView>(
+            nameof(AnchorIndex),
+            (o, v) => v?.reset(o?.Anchors));
+
+      public AnchorIndex AnchorIndex {
+         get => GetValue(AnchorIndexProperty) as AnchorIndex;
+         set => SetValue(AnchorIndexProperty, value);
+      }
+      #endregion
+
+      #region GroupLevel
+      public static readonly DependencyProperty GroupLevelProperty =
+         DependencyProperty.RegisterAttached(
+            "GroupLevel",
+            typeof(int),
+            typeof(PNLView),
+            new PropertyMetadata(0, (d, e) => {
+               if (d is GroupItem group && e.NewValue is int level)
+                  group.SetBinding(DIYGrid.ColumnKeyProperty, new Binding($"{nameof(Anchors)}[{level}]") { RelativeSource = new RelativeSource(RelativeSourceMode.FindAncestor, typeof(PNLView), 1) });
+            }));
+
+      public static int GetGroupLevel(DependencyObject d) => (int)d.GetValue(GroupLevelProperty);
+      public static void SetGroupLevel(DependencyObject d, int value) => d.SetValue(GroupLevelProperty, value);
+
+      void _grid_loaded(object sender, RoutedEventArgs e) {
+         // this is a hack to make room for the 'totals row' between the column headers and the regular rows. 
+         if (_grid.try_find_descendent_of_type(out DIYGridRowsPresenter rp)) {
+            rp.SetBinding(MarginProperty,
+               BindingHelper.create_multi(
+                  ValueConverter.create<PNLHeaderRowDisplay, double, Thickness>((hrd, row_height) => {
+                     double top = 0;
+                     if ((hrd & PNLHeaderRowDisplay.Total) != 0)
+                        top += row_height;
+                     if ((hrd & PNLHeaderRowDisplay.SelectedTotal) != 0)
+                        top += row_height;
+                     return new Thickness(0, top, 0, 0);
+                  }),
+                  new Binding(nameof(PNLVM.header_row_display)),
+                  new Binding {
+                     Path = new PropertyPath(DIYGrid.RowHeightProperty),
+                     Converter = HeaderRowHeightConverter,
+                     Source = _grid
+                  }));
+         }
+      }
+      #endregion
+
+      #region Anchors
+      public static readonly DependencyProperty AnchorsProperty =
+         WPFHelper.create_dp<IEnumerable<Columns>, PNLView>(
+            nameof(Anchors),
+            (o, v) => {
+               if (o?._grid?.Columns is not ObservableCollection<DIYGrid.ColumnBase> cols ||
+                  o?._grid?.Rows is not ICollectionView rows_view ||
+                  v is not INotifyCollectionChanged anchor_notifier ||
+                  v is not IReadOnlyList<Columns> anchor_keys) {
+                  return;
+               }
+
+               int version = ++o._anchor_version;
+               bool busy = false;
+               var pnl_cols = cols.CastObservable<DIYGrid.ColumnBase, PNLColumn>();
+               o._anchors_hook?.Dispose();
+               o._anchors_hook = Disposable.Create(
+                  anchor_notifier.Subscribe((_, __) => {
+                     if (busy)
+                        return;
+                     // invoke async to avoid noisy consecutive resets due to batch changes
+                     busy = true;
+                     o.Dispatcher.InvokeAsync(() => {
+                        sync_anchor_cols();
+                        busy = false;
+                     });
+                  }));
+               o.AnchorIndex?.reset(anchor_keys);
+               sync_anchor_cols();
+               void sync_anchor_cols() {
+                  // since reset is invoked asynchronously, need to check we are still the latest version.
+                  if (o._anchor_version != version)
+                     return;
+                  o.AnchorIndex?.reset(anchor_keys);
+                  // move all the anchor columns to the left, ordered by anchor position (grouping hierarchy).
+                  for (int i = 0; i < anchor_keys.Count; i++) {
+                     if (pnl_cols.TryGetFirst(c => c.key == anchor_keys[i], out var match, out int curr_pos)) {
+                        match.is_visible = true;
+                        if (curr_pos != i) {
+                           cols.Move(curr_pos, i);
+                        }
+                        match.anchor_index = i + 1;
+                     }
+                  }
+                  for (int i = anchor_keys.Count; i < pnl_cols.Count; i++) {
+                     pnl_cols[i].anchor_index = null;
+                  }
+                  using (rows_view.DeferRefresh()) {
+                     rows_view.GroupDescriptions.Clear();
+                     var anchor_cols = from key in anchor_keys
+                                       join col in pnl_cols on key equals col.key
+                                       select new PNLGroupDescription(col);
+                     rows_view.GroupDescriptions.AddRange(anchor_cols);
+                  }
+               }
+            });
+
+      public IEnumerable<Columns> Anchors {
+         get => GetValue(AnchorsProperty) as IEnumerable<Columns>;
+         set => SetValue(AnchorsProperty, value);
+      }
+      #endregion
+
+      DIYGridPopupManager _popup_man {
+         get {
+            if (_popup_man_backing == null) {
+               _popup_man_backing = DIYGridPopupManager.create(this);
+            }
+            return _popup_man_backing;
+         }
+      }
+
+      void _cell_click(PNLCell cell) {
+         Log.Ui.info($"PNLCell Click: {cell}.");
+         try {
+            switch (cell.column) {
+               case Columns.SODNetPos:
+               case Columns.SODLongPos:
+               case Columns.SODShortPos:
+               case Columns.DayNetPos:
+               case Columns.DayLongPos:
+               case Columns.DayShortPos:
+               case Columns.RawDayNetPos:
+               case Columns.RawDayLongPos:
+               case Columns.RawDayShortPos:
+               case Columns.TotalNetPos:
+               case Columns.TotalLongPos:
+               case Columns.TotalShortPos: {
+                     var oneof = cell.oneof();
+                     if (oneof == null)
+                        return;
+                     var (vm, context, title, fg) = cell.oneof().Match(_row_fills, _group_fills, _header_fills);
+                     _show_auxiliary_popup(vm, context, title, fg);
+                  }
+                  break;
+               case Columns.WorkingNetPos:
+               case Columns.WorkingLongPos:
+               case Columns.WorkingShortPos: {
+                     var (vm, context, title, fg) = cell.oneof().Match(_orderbook_params, _orderbook_params, _orderbook_params);
+                     _show_auxiliary_popup(vm, context, title, fg);
+                  }
+                  break;
+            }
+         } catch (Exception ex) {
+            Log.Ui.warn($"{nameof(PNLView)} error on cell click: {ex}.");
+         }
+      }
+
+      #region Fills
+      (FillsVM vm, string context, string title, Color fg) _row_fills(PNLRowCell cell) {
+         var (title_desc, fg) = _fills_title(cell.column);
+         return (DataContext.mk_fills_vm(cell.row, cell.column), $"{cell.row.account_name} {cell.row.security}", title_desc, fg);
+      }
+
+      (FillsVM vm, string context, string title, Color fg) _group_fills(PNLGroupCell cell) {
+         var (title_desc, fg) = _fills_title(cell.column);
+         return (DataContext.mk_fills_vm(cell.group, cell.column), string.Join(_node_path_separator, cell.group.GroupNamePath), title_desc, fg);
+      }
+
+      (FillsVM vm, string context, string title, Color fg) _header_fills(PNLHeaderRowCell cell) {
+         var (title_desc, fg) = _fills_title(cell.column);
+         return (DataContext.mk_fills_vm(cell.header_row, cell.column), EnumHelper.get_display_name(cell.header_row), title_desc, fg);
+      }
+
+      static (string desc, Color fg) _fills_title(Columns key) {
+         switch (key) {
+            case Columns.SODLongPos: return ("Open Buy Fills", BTSColors.MarketData.bid);
+            case Columns.SODShortPos: return ("Open Sell Fills", BTSColors.MarketData.ask);
+            case Columns.SODNetPos: return ("Open Fills", BTSColors.UI.default_text);
+            case Columns.DayLongPos: return ("Day Buy Fills", BTSColors.MarketData.bid);
+            case Columns.DayShortPos: return ("Day Sell Fills", BTSColors.MarketData.ask);
+            case Columns.DayNetPos: return ("Day Fills", BTSColors.UI.default_text);
+            case Columns.RawDayLongPos: return ("Raw Day Buy Fills", BTSColors.MarketData.bid);
+            case Columns.RawDayShortPos: return ("Raw Day Sell Fills", BTSColors.MarketData.ask);
+            case Columns.RawDayNetPos: return ("Raw Day Fills", BTSColors.UI.default_text);
+            case Columns.TotalLongPos: return ("All Buy Fills", BTSColors.MarketData.bid);
+            case Columns.TotalShortPos: return ("All Sell Fills", BTSColors.MarketData.ask);
+            case Columns.TotalNetPos: return ("All Fills", BTSColors.UI.default_text);
+            default: throw ExceptionBuilder.Argument.unexpected_case(key, nameof(key));
+         }
+      }
+      #endregion
+
+      #region OrderBook
+      (OrderBookVM vm, string context, string title, Color fg) _orderbook_params(PNLRowCell cell) {
+         var (title_desc, fg) = _orderbook_title(cell.column);
+         return (DataContext.mk_orderbook_vm(cell.row, cell.column), $"{cell.row.account_name} {cell.row.security}", title_desc, fg);
+      }
+
+      (OrderBookVM vm, string context, string title, Color fg) _orderbook_params(PNLGroupCell cell) {
+         var (title_desc, fg) = _orderbook_title(cell.column);
+         return (DataContext.mk_orderbook_vm(cell.group, cell.column), string.Join(_node_path_separator, cell.group.GroupNamePath), title_desc, fg);
+      }
+
+      (OrderBookVM vm, string context, string title, Color fg) _orderbook_params(PNLHeaderRowCell cell) {
+         var (title_desc, fg) = _orderbook_title(cell.column);
+         return (DataContext.mk_orderbook_vm(cell.header_row, cell.column), EnumHelper.get_display_name(cell.header_row), title_desc, fg);
+      }
+
+      static (string desc, Color fg) _orderbook_title(Columns key) {
+         switch (key) {
+            case Columns.WorkingLongPos: return ("Working Buy Orders", BTSColors.MarketData.bid);
+            case Columns.WorkingShortPos: return ("Working Sell Orders", BTSColors.MarketData.ask);
+            case Columns.WorkingNetPos: return ("Working Orders", BTSColors.UI.default_text);
+            default: throw ExceptionBuilder.Argument.unexpected_case(key, nameof(key));
+         }
+      }
+      #endregion
+
+      void _cell_click_executed(object sender, ExecutedRoutedEventArgs e) {
+         if (e.Parameter is PNLCell cell) {
+            _cell_click(cell);
+         } else Log.Ui.warn($"{nameof(PNLView)} '{nameof(_cell_click_executed)}' parameter should be a {typeof(PNLCell)} (actually '{e.Parameter}').");
+      }
+
+      void _on_group_item_mouse_down(object sender, MouseButtonEventArgs e) {
+         if (!e.Handled && sender is FrameworkElement el && el.DataContext is PNLRowCollectionViewGroup group) {
+            if (e.ClickCount == 2) {
+               group.is_expanded = !group.is_expanded;
+            } else if (el.try_find_ancestor_of_type(out DIYGrid grid) && grid.SelectionMode != SelectionMode.Single) {
+               group.is_all_selected = !group.is_all_selected.GetValueOrDefault();
+            } else {
+               return;
+            }
+            e.Handled = true;
+         }
+      }
+
+      void _show_auxiliary_popup<T>(T content, string context_desc, string title_desc, Color fg) {
+         var view = new HeaderedContentControl {
+            Content = content,
+            Header = new AuxiliaryDataHeader {
+               context = context_desc,
+               title = title_desc,
+               title_foreground = fg
+            },
+            HorizontalAlignment = HorizontalAlignment.Left,
+            VerticalAlignment = VerticalAlignment.Top,
+            Resources = new AuxiliaryDataResources()
+         };
+         view.Style = view.Resources[AuxiliaryDataResources.PopupChildStyleKey] as Style;
+         _popup_man.show(view);
+      }
+
+      class PNLGroupDescription : PropertyGroupDescription, IEquatable<PNLGroupDescription> {
+         public PNLGroupDescription(PNLColumn column) : base(column.data_member_path.Path) =>
+            key = column.key;
+
+         public Columns key { get; }
+
+         public bool Equals(PNLGroupDescription other) =>
+            other != null && key == other.key;
+
+         public override int GetHashCode() =>
+            key.GetHashCode();
+
+         public override bool Equals(object obj) =>
+            Equals(obj as PNLGroupDescription);
+      }
+   }
+}

src/client/spark/Orders/OrderActivitySummarizer.cs

@@ -1,243 +1,244 @@
-using bts.api;
-using bts.api.core;
-using bts.api.orderman;
-using bts.shell;
-using bts.utils;
-
-using mbts;
-using mbts.spark;
-using mbts.ui.controls;
-
-using Spark.Api.Orders;
-using Spark.Core;
-using Spark.Core.Disposables;
-
-using System;
-using System.Collections.Generic;
-using System.Linq;
-using System.Reactive.Linq;
-using System.Text;
-using System.Threading.Tasks;
-
-using OrderPair = System.ValueTuple<bts.api.SecurityImmutable?, bts.api.orderman.OrderRecordImmutable>;
-using TickDisplaySettingsImmutable = bts.api.domain.TickDisplaySettingsImmutable;
-
-namespace bts.spark {
-   internal class Activity {
-      public SecurityImmutable? security;
-      public string message;
-      public ILogViewerCategory category;
-   }
-
-   class OrderActivitySummarizer : IDisposable {
-      readonly IBus _bus;
-      IReadOnlyDictionary<uint, SecurityMD> _security = new Dictionary<uint, SecurityMD>();
-      IDisposable _dispose;
-      static readonly IEqualityComparer<OrderRecordImmutable> _id_comparer =
-         bts.utils.EqualityComparer.Create<OrderRecordImmutable, uint>(a => a.Key);
-
-      public OrderActivitySummarizer(IBus bus, IObservable<TableUpdate<OrderRecordTuple, uint>> orders) {
-         _bus = bus;
-         _dispose = Disposable.Create(
-            bus.subscribe(SparkTags.SecuritiesTag).Subscribe(sec => _security = sec),
-            orders.Subscribe(orders_updated));
-      }
-
-      public void Dispose() => Disposable.dispose(ref _dispose);
-
-      #region formatting
-
-      SecurityImmutable? try_get_security(uint security_key) {
-         if (_security.TryGetValue(security_key, out SecurityMD md)) {
-            return md.security;
-         }
-         return null;
-      }
-      public static string format_order_success(
-         uint key, double price, double size, Side side, ContractSpecificationImmutable? spec) =>
-         $"({key}) {side.ToString().ToLower()} {size} @ {spec.format(price)}";
-
-      string format_order_fail(
-         double price,
-         double size,
-         Side side,
-         ContractSpecificationImmutable? spec,
-         string error) =>
-         $"Failed to {side.ToString().ToLower()} {size} @ {spec.format(price)}. {error}";
-
-      string format_cancel_success(OrderRecordImmutable order, ContractSpecificationImmutable? spec) {
-         return $"({order.Key}) Canceled {order.short_description(spec)}, was working {order.working_quantity()}";
-      }
-      string format_cancel_error(OrderRecordImmutable order, ContractSpecificationImmutable? spec, string error) {
-         return $"({order.Key}) Failed to cancel {order.short_description(spec)}: {error}";
-      }
-      public static string format_fill_summary(OrderRecordImmutable before, OrderRecordImmutable after) =>
-         _format_fill_summary(_header(after.Key), before, after);
-
-      public static string format_fill_summary(OrderRecordImmutable before, OrderRecordImmutable after, SecurityImmutable? security) =>
-         _format_fill_summary(_header(after.Key, security), before, after);
-
-      public static string format_status_change(uint key, OrderStatus old_status, OrderStatus new_status) =>
-         _format_status_change(_header(key), key, old_status, new_status);
-
-      public static string format_status_change(uint key, OrderStatus old_status, OrderStatus new_status, SecurityImmutable? security) =>
-         _format_status_change(_header(key, security), key, old_status, new_status);
-
-      // since changes are naggled, transition changes aren't always detected (e.g. a new order changes before observers are notified of its existence), so old_status might be null.
-      public static string format_status_change(uint key, OrderStatus? old_status, OrderStatus new_status, SecurityImmutable? security) {
-         string header = _header(key, security);
-         return old_status.HasValue ?
-            _format_status_change(header, key, old_status.Value, new_status) :
-            _format_status_change(header, key, new_status);
-      }
-
-      public static string order_completion_debrief(
-         OrderRecordImmutable order,
-         SecurityImmutable? security,
-         TickDisplaySettingsImmutable qty_display) =>
-         _format_order_completion(
-            _header(order.Key, security), order, security?.ContractSpec, qty_display);
-
-      public static string modified_description(OrderRecordImmutable old_order, OrderRecordImmutable new_order, ContractSpecificationImmutable? spec) {
-         double old_price = old_order.State.Price, new_price = new_order.State.Price;
-         uint old_size = old_order.State.Quantity, new_size = new_order.State.Quantity;
-         uint old_attached_target_key = old_order.attached_target_order_key(), new_attached_target_key = new_order.attached_target_order_key();
-         return StringBuilderEx.join(prefix, change_descs());
-         //
-         string prefix() => $"({old_order.Key}) Changed";
-         IEnumerable<string> change_descs() {
-            if (old_price != new_price)
-               yield return $"price from {spec.format(old_price)} to {spec.format(new_price)}";
-            if (old_size != new_size)
-               yield return $"size from {old_size} to {new_size}, working {new_order.working_quantity()}";
-            if (old_attached_target_key != new_attached_target_key)
-               yield return $"attached target from {old_attached_target_key} to {new_attached_target_key}";
-         }
-      }
-
-      static string _header(uint key) => $"({key})";
-      static string _header(uint key, SecurityImmutable? security) => $"({key}) {security.display_name()}";
-
-      static string _format_fill_summary(string header, OrderRecordImmutable before, OrderRecordImmutable after) {
-         int fb = (int)before.State.FilledQuantity;
-         int fa = (int)after.State.FilledQuantity;
-         return $"{header} {after.Def.Side.past_tense()} {(fa - fb)} ({fa} total), still working {after.working_quantity()}";
-      }
-
-      static string _format_status_change(string header, uint key, OrderStatus new_status) =>
-         $"{header} Status changed to {new_status}";
-
-      static string _format_status_change(string header, uint key, OrderStatus old_status, OrderStatus new_status) =>
-         $"{header} Status changed from {old_status} to {new_status}";
-
-      static string _format_order_completion(
-         string header,
-         OrderRecordImmutable order,
-         ContractSpecificationImmutable? spec,
-         TickDisplaySettingsImmutable qty_display) {
-         var filled_qty_str = qty_display.format(order.filled_quantity());
-         return $"{header} Completed: {order.side().past_tense()} {filled_qty_str}, " +
-            $"@ {spec.spec_or_default().format(order.avg_price())} (avg)";
-      }
-
-      #endregion
-
-      void orders_updated(TableUpdate<OrderRecordTuple, uint> update) {
-
-         foreach (var o in update.added) {
-            if (!string.IsNullOrEmpty(o.order.State.LastMsg) && o.order.State.Created.ToDateTime().Date == DateTime.Today) {
-               if (o.security.HasValue) {
-                  log_status(ActivityLogCategory.warn, o.security.Value, o.order.State.LastMsg);
-               }
-            }
-         }
-
-         foreach (var order in update.changes) {
-            var neworder = order.New.order;
-            var oldorder = order.Old.order;
-            var security = order.New.security ?? order.Old.security;
-            //
-            // description
-            var mod_desc = modified_description(oldorder, neworder, security?.ContractSpec);
-            if (!string.IsNullOrEmpty(mod_desc)) {
-               log_status(ActivityLogCategory.modify, security, mod_desc);
-            }
-            //
-            // filled quantity
-            if (oldorder.State.FilledQuantity != neworder.State.FilledQuantity && !neworder.has_parent()) {
-               log_status(ActivityLogCategory.fill, security, format_fill_summary(oldorder, neworder));
-            }
-
-            //
-            // status
-            if (oldorder.State.Status != neworder.State.Status && !neworder.has_parent()) {
-               log_status(ActivityLogCategory.modify, security,
-                  format_status_change(neworder.Key, oldorder.State.Status, neworder.State.Status));
-            }
-
-            // last msg
-            if (oldorder.State.LastMsg != neworder.State.LastMsg) {
-               if (security.HasValue) {
-                  log_status(ActivityLogCategory.warn, security, neworder.State.LastMsg);
-               }
-            }
-         }
-      }
-
-      public void log_status(ILogViewerCategory category, SecurityImmutable? security, string msg) {
-         _bus.post(SparkTags.LogActivity, new Activity { security = security, message = msg, category = category });
-      }
-
-      internal void on_send_order(
-         OrderDefinitionImmutable order, double price, double size, uint? key, string error) {
-         var security = try_get_security(order.SecurityKey);
-         log_status(ActivityLogCategory.order, security, key.HasValue ?
-            format_order_success(key.Value, price, size, order.Side, security?.ContractSpec) :
-            format_order_fail(price, size, order.Side, security?.ContractSpec, error));
-      }
-
-      internal void on_cancel_order(OrderRecordImmutable order, bool success, string error) {
-         var security = try_get_security(order.Def.SecurityKey);
-         log_status(ActivityLogCategory.cancel, security, success ?
-            format_cancel_success(order, security?.ContractSpec) :
-            format_cancel_error(order, security?.ContractSpec, error));
-      }
-
-      internal void update_order(
-         OrderRecordImmutable order, double price, double size, bool algo_changed) =>
-         _log_order_update(order, price, size, algo_changed, "change from");
-
-      internal void update_order_failed(OrderRecordImmutable order, double price, double size, bool algo_changed) =>
-         _log_order_update(order, price, size, algo_changed, "failed to change from");
-
-      void _log_order_update(
-         OrderRecordImmutable order,
-         double price,
-         double size,
-         bool algo_changed,
-         string change_desc_prefix
-      ) {
-         if (price == order.price() && size == order.working_quantity() && !algo_changed) {
-            // nothing actually changed
-            return;
-         }
-         const string algo_change_text = "change algo parameters";
-         var security = try_get_security(order.Def.SecurityKey);
-         var change_descs = new List<string>(1);
-
-         var price_display  = TickUtils.get_tick(security, price).to_api_tick_display_settingsi();
-         var price_qty_change_desc = OrdersExtensions.update_description(
-            order, price, size, price_display);
-
-         if (!price_qty_change_desc.is_null_or_empty()) {
-            change_descs.Add(price_qty_change_desc);
-         }
-         if (algo_changed) {
-            change_descs.Add(algo_change_text);
-         }
-
-         var desc = $"({order.Key}) {change_desc_prefix} {"; ".join(change_descs)}";
-         log_status(ActivityLogCategory.modify, security, desc);
-      }
-   }
-}
+using bts.api;
+using bts.api.core;
+using bts.api.orderman;
+using bts.shell;
+using bts.utils;
+
+using mbts;
+using mbts.spark;
+using mbts.ui.controls;
+
+using Spark.Api.Orders;
+using Spark.Core;
+using Spark.Core.Disposables;
+
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Text;
+using System.Threading.Tasks;
+
+using OrderPair = System.ValueTuple<bts.api.SecurityImmutable?, bts.api.orderman.OrderRecordImmutable>;
+using TickDisplaySettingsImmutable = bts.api.domain.TickDisplaySettingsImmutable;
+
+namespace bts.spark {
+   internal class Activity {
+      public SecurityImmutable? security;
+      public string message;
+      public ILogViewerCategory category;
+   }
+
+   class OrderActivitySummarizer : IDisposable {
+      readonly IBus _bus;
+      IReadOnlyDictionary<uint, SecurityMD> _security = new Dictionary<uint, SecurityMD>();
+      IDisposable _dispose;
+      static readonly IEqualityComparer<OrderRecordImmutable> _id_comparer =
+         bts.utils.EqualityComparer.Create<OrderRecordImmutable, uint>(a => a.Key);
+
+      public OrderActivitySummarizer(IBus bus, IObservable<TableUpdate<OrderRecordTuple, uint>> orders) {
+         _bus = bus;
+         _dispose = Disposable.Create(
+            bus.subscribe(SparkTags.SecuritiesTag).Subscribe(sec => _security = sec),
+            orders.Subscribe(orders_updated));
+      }
+
+      public void Dispose() => Disposable.dispose(ref _dispose);
+
+      #region formatting
+
+      SecurityImmutable? try_get_security(uint security_key) {
+         if (_security.TryGetValue(security_key, out SecurityMD md)) {
+            return md.security;
+         }
+         return null;
+      }
+      public static string format_order_success(
+         uint key, double price, double size, Side side, ContractSpecificationImmutable? spec) =>
+         $"({key}) {side.ToString().ToLower()} {size} @ {spec.format(price)}";
+
+      string format_order_fail(
+         double price,
+         double size,
+         Side side,
+         ContractSpecificationImmutable? spec,
+         string error) =>
+         $"Failed to {side.ToString().ToLower()} {size} @ {spec.format(price)}. {error}";
+
+      string format_cancel_success(OrderRecordImmutable order, ContractSpecificationImmutable? spec) {
+         return $"({order.Key}) Canceled {order.short_description(spec)}, was working {order.working_quantity()}";
+      }
+      string format_cancel_error(OrderRecordImmutable order, ContractSpecificationImmutable? spec, string error) {
+         return $"({order.Key}) Failed to cancel {order.short_description(spec)}: {error}";
+      }
+      public static string format_fill_summary(OrderRecordImmutable before, OrderRecordImmutable after) =>
+         _format_fill_summary(_header(after.Key), before, after);
+
+      public static string format_fill_summary(OrderRecordImmutable before, OrderRecordImmutable after, SecurityImmutable? security) =>
+         _format_fill_summary(_header(after.Key, security), before, after);
+
+      public static string format_status_change(uint key, OrderStatus old_status, OrderStatus new_status) =>
+         _format_status_change(_header(key), key, old_status, new_status);
+
+      public static string format_status_change(uint key, OrderStatus old_status, OrderStatus new_status, SecurityImmutable? security) =>
+         _format_status_change(_header(key, security), key, old_status, new_status);
+
+      // since changes are naggled, transition changes aren't always detected (e.g. a new order changes before observers are notified of its existence), so old_status might be null.
+      public static string format_status_change(uint key, OrderStatus? old_status, OrderStatus new_status, SecurityImmutable? security) {
+         string header = _header(key, security);
+         return old_status.HasValue ?
+            _format_status_change(header, key, old_status.Value, new_status) :
+            _format_status_change(header, key, new_status);
+      }
+
+      public static string order_completion_debrief(
+         OrderRecordImmutable order,
+         SecurityImmutable? security,
+         TickDisplaySettingsImmutable qty_display) =>
+         _format_order_completion(
+            _header(order.Key, security), order, security?.ContractSpec, qty_display);
+
+      public static string modified_description(OrderRecordImmutable old_order, OrderRecordImmutable new_order, ContractSpecificationImmutable? spec) {
+         double old_price = old_order.State.Price, new_price = new_order.State.Price;
+         double old_size = old_order.State.quantity();
+         double new_size = new_order.State.quantity();
+         uint old_attached_target_key = old_order.attached_target_order_key(), new_attached_target_key = new_order.attached_target_order_key();
+         return StringBuilderEx.join(prefix, change_descs());
+         //
+         string prefix() => $"({old_order.Key}) Changed";
+         IEnumerable<string> change_descs() {
+            if (old_price != new_price)
+               yield return $"price from {spec.format(old_price)} to {spec.format(new_price)}";
+            if (old_size != new_size)
+               yield return $"size from {old_size} to {new_size}, working {new_order.working_quantity()}";
+            if (old_attached_target_key != new_attached_target_key)
+               yield return $"attached target from {old_attached_target_key} to {new_attached_target_key}";
+         }
+      }
+
+      static string _header(uint key) => $"({key})";
+      static string _header(uint key, SecurityImmutable? security) => $"({key}) {security.display_name()}";
+
+      static string _format_fill_summary(string header, OrderRecordImmutable before, OrderRecordImmutable after) {
+         int fb = (int)before.State.FilledQuantity;
+         int fa = (int)after.State.FilledQuantity;
+         return $"{header} {after.Def.Side.past_tense()} {(fa - fb)} ({fa} total), still working {after.working_quantity()}";
+      }
+
+      static string _format_status_change(string header, uint key, OrderStatus new_status) =>
+         $"{header} Status changed to {new_status}";
+
+      static string _format_status_change(string header, uint key, OrderStatus old_status, OrderStatus new_status) =>
+         $"{header} Status changed from {old_status} to {new_status}";
+
+      static string _format_order_completion(
+         string header,
+         OrderRecordImmutable order,
+         ContractSpecificationImmutable? spec,
+         TickDisplaySettingsImmutable qty_display) {
+         var filled_qty_str = qty_display.format(order.filled_quantity());
+         return $"{header} Completed: {order.side().past_tense()} {filled_qty_str}, " +
+            $"@ {spec.spec_or_default().format(order.avg_price())} (avg)";
+      }
+
+      #endregion
+
+      void orders_updated(TableUpdate<OrderRecordTuple, uint> update) {
+
+         foreach (var o in update.added) {
+            if (!string.IsNullOrEmpty(o.order.State.LastMsg) && o.order.State.Created.ToDateTime().Date == DateTime.Today) {
+               if (o.security.HasValue) {
+                  log_status(ActivityLogCategory.warn, o.security.Value, o.order.State.LastMsg);
+               }
+            }
+         }
+
+         foreach (var order in update.changes) {
+            var neworder = order.New.order;
+            var oldorder = order.Old.order;
+            var security = order.New.security ?? order.Old.security;
+            //
+            // description
+            var mod_desc = modified_description(oldorder, neworder, security?.ContractSpec);
+            if (!string.IsNullOrEmpty(mod_desc)) {
+               log_status(ActivityLogCategory.modify, security, mod_desc);
+            }
+            //
+            // filled quantity
+            if (oldorder.State.FilledQuantity != neworder.State.FilledQuantity && !neworder.has_parent()) {
+               log_status(ActivityLogCategory.fill, security, format_fill_summary(oldorder, neworder));
+            }
+
+            //
+            // status
+            if (oldorder.State.Status != neworder.State.Status && !neworder.has_parent()) {
+               log_status(ActivityLogCategory.modify, security,
+                  format_status_change(neworder.Key, oldorder.State.Status, neworder.State.Status));
+            }
+
+            // last msg
+            if (oldorder.State.LastMsg != neworder.State.LastMsg) {
+               if (security.HasValue) {
+                  log_status(ActivityLogCategory.warn, security, neworder.State.LastMsg);
+               }
+            }
+         }
+      }
+
+      public void log_status(ILogViewerCategory category, SecurityImmutable? security, string msg) {
+         _bus.post(SparkTags.LogActivity, new Activity { security = security, message = msg, category = category });
+      }
+
+      internal void on_send_order(
+         OrderDefinitionImmutable order, double price, double size, uint? key, string error) {
+         var security = try_get_security(order.SecurityKey);
+         log_status(ActivityLogCategory.order, security, key.HasValue ?
+            format_order_success(key.Value, price, size, order.Side, security?.ContractSpec) :
+            format_order_fail(price, size, order.Side, security?.ContractSpec, error));
+      }
+
+      internal void on_cancel_order(OrderRecordImmutable order, bool success, string error) {
+         var security = try_get_security(order.Def.SecurityKey);
+         log_status(ActivityLogCategory.cancel, security, success ?
+            format_cancel_success(order, security?.ContractSpec) :
+            format_cancel_error(order, security?.ContractSpec, error));
+      }
+
+      internal void update_order(
+         OrderRecordImmutable order, double price, double size, bool algo_changed) =>
+         _log_order_update(order, price, size, algo_changed, "change from");
+
+      internal void update_order_failed(OrderRecordImmutable order, double price, double size, bool algo_changed) =>
+         _log_order_update(order, price, size, algo_changed, "failed to change from");
+
+      void _log_order_update(
+         OrderRecordImmutable order,
+         double price,
+         double size,
+         bool algo_changed,
+         string change_desc_prefix
+      ) {
+         if (price == order.price() && size == order.working_quantity() && !algo_changed) {
+            // nothing actually changed
+            return;
+         }
+         const string algo_change_text = "change algo parameters";
+         var security = try_get_security(order.Def.SecurityKey);
+         var change_descs = new List<string>(1);
+
+         var price_display  = TickUtils.get_tick(security, price).to_api_tick_display_settingsi();
+         var price_qty_change_desc = OrdersExtensions.update_description(
+            order, price, size, price_display);
+
+         if (!price_qty_change_desc.is_null_or_empty()) {
+            change_descs.Add(price_qty_change_desc);
+         }
+         if (algo_changed) {
+            change_descs.Add(algo_change_text);
+         }
+
+         var desc = $"({order.Key}) {change_desc_prefix} {"; ".join(change_descs)}";
+         log_status(ActivityLogCategory.modify, security, desc);
+      }
+   }
+}

src/client/spark/Orders/OrdersModel.cs

@@ -1,4 +1,4 @@
-namespace mbts.spark {
+namespace mbts.spark {
    using bts;
    using bts.api;
    using bts.api.core;
@@ -662,7 +662,7 @@
             if (o.State.Price == price) return true;
             var wq = o.working_quantity();
             if (wq > 0) {
-               return await orders_model.update_order(o, price, o.State.Quantity);
+               return await orders_model.update_order(o, price, o.State.quantity());
             }
          }
          return false;

src/client/spark/Reactive/ReactiveExtensions.cs

@@ -64,9 +64,5 @@ namespace System.Reactive.Linq {
             }
          });
       }
-
-      public static IObservable<TResult> SelectInline<T, TResult>(
-         this IObservable<T> source, Func<T, TResult> selector) =>
-         Observable.Create<TResult>(o => source.Subscribe(v => o.OnNext(selector(v))));
    }
 }

src/client/spark/ShellWindowSettingsDirectoryStore.cs

@@ -0,0 +1,59 @@
+#nullable enable
+using bts.collections;
+
+using Spark.Core;
+using Spark.Core.Protobuf;
+
+using System;
+using System.Collections.Generic;
+using System.IO;
+using System.Linq;
+
+namespace bts.shell;
+
+static class ShellWindowSettingsDirectoryStore {
+   public static ShellWindowSettingsDirectoryStore<T> Create<T>(string path, string searchPattern) =>
+      new(path, searchPattern);
+}
+
+class ShellWindowSettingsDirectoryStore<T> {
+   readonly LazyOnce<Dictionary<string, SingleFileStore>> profiles;
+
+   public ShellWindowSettingsDirectoryStore(string path, string searchPattern) =>
+      profiles = new(() => {
+         try {
+            return Directory.EnumerateFiles(path, searchPattern).Select(SingleFileStore.FromPath).ToDictionary(sfs => sfs.Name);
+         } catch (Exception ex) {
+            Log.Ui.error($"Failed to enumerate {typeof(T)} settings files in '{path}'. {ex}");
+         }
+         return new(0);
+      });
+
+   public IReadOnlyDictionary<string, T?> Profiles =>
+      MappedDictionary.create(profiles.Value, sfs => sfs.Value);
+
+   class SingleFileStore {
+      LazyOnce<T?> value;
+
+      public SingleFileStore(string path) {
+         Name = Path.GetFileNameWithoutExtension(path);
+         value = new(LoadValue);
+
+         T? LoadValue() {
+            try {
+               using var f = File.OpenRead(path);
+               return ProtobufSerializationHelper.deserialize<T>(f);
+            } catch (Exception ex) {
+               Log.Ui.error($"Failed to load {typeof(T)} file '{path}'. {ex}");
+            }
+            return default;
+         }
+      }
+
+      public static SingleFileStore FromPath(string path) =>
+         new(path);
+
+      public string Name { get; }
+      public T? Value => value.Value;
+   }
+}

src/client/spark/Spark.csproj

@@ -77,6 +77,10 @@
     <EmbeddedResource Include="Sounds/whistle.wav" />
   </ItemGroup>
 
+  <ItemGroup>
+    <None Include="ShellWindowSettings/**" CopyToOutputDirectory="PreserveNewest" />
+  </ItemGroup>
+
   <Target Name="diagnostic" AfterTargets="PreBuildEvent" />
 
 </Project>

src/client/spark/core/FontsAndColors/BTSColors.cs

@@ -254,9 +254,9 @@ namespace mbts.ui {
       public static class PNL {
          public static BTSColor foreground => UI.default_foreground;
          public static BTSColor anchor => Colors.Gold;
-         public static BTSColor profit => Colors.Green;
+         public static BTSColor profit => BTSCoreColors.spring_green;
          public static BTSColor net_zero => BTSCoreColors.gray;
-         public static BTSColor loss => BTSCoreColors.venetian_red;
+         public static BTSColor loss => BTSCoreColors.fire_brick;
          public static BTSColor header_row_background => 0xffaaaaaa;
          // group background colors
          public static BTSColor group_row_background1 => 0x19141420;
@@ -276,8 +276,8 @@ namespace mbts.ui {
          }
 
          public static Color anchor_color => Colors.Gold;
-         public static Color profit_color => Colors.Green;
-         public static Color loss_color => BTSCoreColors.venetian_red;
+         public static Color profit_color => profit;
+         public static Color loss_color => loss;
          public static Color header_row_background_color => 0xffaaaaaa.argb_color();
          // group background colors
          public static Color group_row_background_color1 => group_row_background1;
@@ -1040,6 +1040,7 @@ namespace mbts.ui {
       }
       public static class DayFills {
          public static BTSColor background => UI.common_background;
+         public static BTSColor foreground => UI.default_foreground;
       }
       public static class ComboReport {
          public static BTSColor foreground => UI.default_text;

src/client/spark/core/FontsAndColors/BTSCoreColors.cs

@@ -83,6 +83,7 @@
       public static BTSColor green => 0xff00c000;
       public static BTSColor green_p_light => 0xff99ee90;
       public static BTSColor green_dark_light => 0xff255d25;
+      public static BTSColor spring_green => 0xff00fb76;
       public static BTSColor light_sea_green => 0xff17b794;
       public static BTSColor very_light_malachite_green => 0xff52e887;
       public static BTSColor may_green => 0xff43a23c;
@@ -100,6 +101,7 @@
       public static BTSColor red_light_dark => 0xffd69a9a;
       public static BTSColor red_light_dark_saturated => 0xffd67e7e;
       public static BTSColor permanent_geranium_lake => 0xffde3429;
+      public static BTSColor fire_brick => 0xffb1373a;
       public static BTSColor fire_opal => 0xfff05454;
       public static BTSColor paradise_pink => 0xffe94560;
       public static BTSColor tulip => 0xffff878d;

src/client/spark/view/Controls/DIYGrid/Columns/ColumnBase.cs

@@ -209,11 +209,15 @@ namespace mbts.ui.controls {
                   this.prefix = prefix;
 
                public string PNL => $"{prefix} PNL";
+               public string RealizedPNL => $"{prefix} R PNL";
+               public string UnrealizedPNL => $"{prefix} U PNL";
                public string Net => $"{prefix} {PNLHeaders.Net}";
                public string Long => $"{prefix} {PNLHeaders.Long}";
                public string LongAvg => $"{Long} {AvgPrice}";
+               public string LongAvgPNL => $"{Long} {AvgPrice} PNL";
                public string Short => $"{prefix} {PNLHeaders.Short}";
                public string ShortAvg => $"{Short} {AvgPrice}";
+               public string ShortAvgPNL => $"{Short} {AvgPrice} PNL";
                public string Delta => $"{prefix} {PNLHeaders.Delta}";
                public string Gamma => $"{prefix} {PNLHeaders.Gamma}";
                public string Vega => $"{prefix} {PNLHeaders.Vega}";

src/client/spark/view/Controls/DIYGrid/Columns/ColumnPredicateBuilder.cs

@@ -2,6 +2,8 @@
 
 using mbts.ui;
 
+using Spark.Api.Data;
+
 using System;
 using System.Collections.Generic;
 using System.Linq;
@@ -134,6 +136,20 @@ namespace mbts.spark.filters {
          }
       }
 
+      public void add_exp_date(
+         ExpirationDate dt, Func<TRow, ExpirationDate?> selector, bool null_passes_filter = false) {
+         // Use local fns to provide context in stack trace
+         _predicates.Add(null_passes_filter ? null_pass_impl : null_fail_impl);
+
+         bool null_fail_impl(TRow r) =>
+            selector(r) == dt;
+
+         bool null_pass_impl(TRow r) {
+            var rdt = selector(r);
+            return !rdt.HasValue || rdt == dt;
+         }
+      }
+
       public Func<TRow, bool> to_predicate() =>
          _predicates.Count == 0 ? null : new Func<TRow, bool>(o => _predicates.All(p => p(o)));
    }

src/client/spark/view/Controls/TickUpDown/PriceEntryCommitControl.xaml

@@ -8,7 +8,8 @@
              xmlns:cv="clr-namespace:mbts.ui.converters"
              xmlns:c="clr-namespace:mbts.ui.controls"
              xmlns:usp="clr-namespace:mbts.ui.spark"
-             d:DesignHeight="100" d:DesignWidth="800" x:Name="_me_price">
+             d:DesignHeight="100" d:DesignWidth="800" x:Name="_me_price"
+             Foreground="{u:BTSColor UI.input_text}">
   <UserControl.Resources>
     <cv:NullableDoubleConverter x:Key="TickDefaultPriceConverter" DefaultValue="0"/>
     <cv:TickDisplayConverter x:Key="TickDisplayConverter" x:Shared="False"/>

src/client/spark/view/Spark/Shell/CalculatorLogic.cs

@@ -6,6 +6,7 @@
    using mbts.ui;
    using mbts.ui.shell;
 
+   using Spark.Api.Data;
    using Spark.Core.Disposables;
 
    using System;

src/client/spark/view/Utility/DisplayTranslatorExtensions.cs

@@ -0,0 +1,27 @@
+namespace mbts.ui;
+
+using mbts.ui.shell;
+
+using Spark.Api.Data;
+using Spark.Core.Disposables;
+
+using System;
+
+static class DisplayTranslatorExtensions {
+   public static IDisposable connect_owner<T>(
+      this IDisplayTranslator<T> display_translator,
+      IRaiseNotifyPropertyChanged owner,
+      params string[] properties
+   ) {
+      if (display_translator is null)
+         throw new ArgumentNullException(nameof(display_translator));
+      if (owner is null)
+         throw new ArgumentNullException(nameof(owner));
+      display_translator.value_changed += on_value_changed;
+      return Disposable.Create(() => display_translator.value_changed -= on_value_changed);
+      void on_value_changed() {
+         for (int i = 0; i < properties.Length; i++)
+            owner.raise_notify_property_changed(properties[i]);
+      }
+   }
+}

src/client/spark/view/Utility/IDisplayTranslator.cs

@@ -1,215 +0,0 @@
-using bts.utils;
-
-using mbts.ui.shell;
-
-using Spark.Core;
-using Spark.Core.Disposables;
-
-using System;
-using System.Collections.Generic;
-using System.Numerics;
-using System.Reactive.Linq;
-
-namespace mbts.ui {
-   interface IDisplayTranslator<T> {
-      T display_value { get; set; }
-      T actual_value { get; set; }
-      event Action value_changed;
-   }
-
-   enum QuantityConversionOpType {
-      None,
-      MultiplyActual,
-      DivideActual
-   }
-
-   readonly struct QuantityConversionData<T> : IEquatable<QuantityConversionData<T>>
-      where T : INumber<T> {
-      public QuantityConversionData(T value, QuantityConversionOpType op) {
-         this.value = value;
-         this.op = op;
-      }
-
-      public enum OpType {
-         None,
-         MultiplyActual,
-         DivideActual
-      }
-
-      public T value { get; }
-      public QuantityConversionOpType op { get; }
-
-      public QuantityConversionData<TResult> convert_numeric_type<TResult>()
-         where TResult : INumber<TResult> =>
-         new(NumericCastConverter<T, TResult>.convert(value), op);
-
-      public bool Equals(QuantityConversionData<T> other) =>
-         value == other.value &&
-         op == other.op;
-
-      public override bool Equals(object obj) =>
-         obj is QuantityConversionData<T> other && Equals(other);
-
-      public override int GetHashCode() =>
-         EqualityComparer.auto_phase(value.GetHashCode(), op.GetHashCode());
-
-      public static bool operator ==(QuantityConversionData<T> x, QuantityConversionData<T> y) =>
-         x.Equals(y);
-
-      public static bool operator !=(QuantityConversionData<T> x, QuantityConversionData<T> y) =>
-         !x.Equals(y);
-   }
-
-   static class DisplayQuantityMultiplier {
-      public static DisplayQuantityMultiplier<uint> create_uint() => new(
-         DisplayTranslatorExtensions.to_display,
-         DisplayTranslatorExtensions.from_display);
-
-      public static DisplayQuantityMultiplier<double> create_double() => new(
-         DisplayTranslatorExtensions.to_display,
-         DisplayTranslatorExtensions.from_display);
-   }
-
-   class DisplayQuantityMultiplier<T> : IDisplayTranslator<T> where T : struct, INumber<T> {
-      readonly Func<QuantityConversionData<T>, T, T> _to_display, _from_display;
-      readonly IEqualityComparer<T> _comparer;
-      T _actual_value;
-      QuantityConversionData<T> _conversion_data;
-
-      public DisplayQuantityMultiplier(
-         Func<QuantityConversionData<T>, T, T> to_display,
-         Func<QuantityConversionData<T>, T, T> from_display,
-         IEqualityComparer<T> comparer = null,
-         T actual_value = default,
-         QuantityConversionData<T> conversion_data = default) {
-         //
-         _to_display = to_display ?? throw new ArgumentNullException(nameof(to_display));
-         _from_display = from_display ?? throw new ArgumentNullException(nameof(from_display));
-         _comparer = comparer ?? EqualityComparer<T>.Default;
-         _actual_value = actual_value;
-         _conversion_data = conversion_data;
-      }
-
-      public event Action value_changed;
-
-      public T actual_value {
-         get => _actual_value;
-         set {
-            if (!_comparer.Equals(_actual_value, value)) {
-               _actual_value = value;
-               value_changed?.Invoke();
-            }
-         }
-      }
-
-      public T display_value {
-         get => _to_display(_conversion_data, _actual_value);
-         set => actual_value = _from_display(_conversion_data, value);
-      }
-
-      public QuantityConversionData<T> conversion_data {
-         get => _conversion_data;
-         set {
-            if (_conversion_data != value) {
-               _conversion_data = value;
-               value_changed?.Invoke();
-            }
-         }
-      }
-   }
-
-   class OptionalDisplayQuantityMultiplier<T> : IDisplayTranslator<T?> where T : struct, INumber<T> {
-      T? _actual_value;
-      QuantityConversionData<T> _conversion_data;
-
-      public event Action value_changed;
-
-      public T? actual_value {
-         get => _actual_value;
-         set {
-            if (_actual_value != value) {
-               _actual_value = value;
-               value_changed?.Invoke();
-            }
-         }
-      }
-
-      public T? display_value {
-         get => _actual_value.HasValue ?
-            _conversion_data.to_display(_actual_value.Value) : _actual_value;
-         set => actual_value = value.HasValue ?
-            _conversion_data.from_display(value.Value) : value;
-      }
-
-      public QuantityConversionData<T> conversion_data {
-         get => _conversion_data;
-         set {
-            if (_conversion_data != value) {
-               _conversion_data = value;
-               value_changed?.Invoke();
-            }
-         }
-      }
-   }
-
-   static class DisplayTranslatorExtensions {
-      public static IDisposable connect_owner<T>(
-         this IDisplayTranslator<T> display_translator,
-         IRaiseNotifyPropertyChanged owner,
-         params string[] properties
-      ) {
-         if (display_translator is null)
-            throw new ArgumentNullException(nameof(display_translator));
-         if (owner is null)
-            throw new ArgumentNullException(nameof(owner));
-         display_translator.value_changed += on_value_changed;
-         return Disposable.Create(() => display_translator.value_changed -= on_value_changed);
-         void on_value_changed() {
-            for (int i = 0; i < properties.Length; i++)
-               owner.raise_notify_property_changed(properties[i]);
-         }
-      }
-
-      public static IObservable<T> subscribe_actual_value<T>(
-         this IDisplayTranslator<T> display_translator) =>
-         subscribe_actual_value(display_translator, EqualityComparer<T>.Default);
-
-      public static IObservable<T> subscribe_actual_value<T>(
-         this IDisplayTranslator<T> display_translator, IEqualityComparer<T> comparer) {
-         if (comparer is null)
-            throw new ArgumentNullException(nameof(comparer));
-         return Observable.Create<T>(o => {
-            var curr = display_translator.actual_value;
-            o.OnNext(curr);
-            display_translator.value_changed += on_value_changed;
-            return Disposable.Create(() => display_translator.value_changed -= on_value_changed);
-            void on_value_changed() {
-               var next = display_translator.actual_value;
-               if (!comparer.Equals(curr, next))
-                  o.OnNext(curr = next);
-            }
-         });
-      }
-
-      public static T to_display<T>(
-         this QuantityConversionData<T> quantity_conversion_data, T actual_value)
-         where T : INumber<T> =>
-         quantity_conversion_data.op switch {
-            QuantityConversionOpType.DivideActual =>
-               actual_value.safe_divide(quantity_conversion_data.value),
-            QuantityConversionOpType.MultiplyActual =>
-               actual_value * quantity_conversion_data.value,
-            _ => actual_value,
-         };
-
-      public static T from_display<T>(
-         this QuantityConversionData<T> quantity_conversion_data, T display_value)
-         where T : INumber<T> =>
-         quantity_conversion_data.op switch {
-            QuantityConversionOpType.DivideActual => display_value * quantity_conversion_data.value,
-            QuantityConversionOpType.MultiplyActual =>
-               display_value.safe_divide(quantity_conversion_data.value),
-            _ => display_value,
-         };
-   }
-}

src/client/spark_api/MarketData/Bbo.cs

@@ -0,0 +1,47 @@
+#nullable enable
+namespace Spark.Api.MarketData;
+
+using System;
+
+public readonly struct Bbo : IEquatable<Bbo> {
+   public readonly double BidPrice;
+   public readonly double BidQuantity;
+   public readonly double AskPrice;
+   public readonly double AskQuantity;
+
+   public Bbo(double bidPrice, double bidQuantity, double askPrice, double askQuantity) {
+      BidPrice = bidPrice;
+      BidQuantity = bidQuantity;
+      AskPrice = askPrice;
+      AskQuantity = askQuantity;
+   }
+
+   public static Bbo Empty => new(double.NaN, double.NaN, double.NaN, double.NaN);
+
+   public bool Equals(Bbo other) =>
+      BidPrice.Equals(other.BidPrice) &&
+      BidQuantity.Equals(other.BidQuantity) &&
+      AskPrice.Equals(other.AskPrice) &&
+      AskQuantity.Equals(other.AskQuantity);
+
+   public override bool Equals(object? obj) =>
+      obj is Bbo other && Equals(other);
+
+   public override int GetHashCode() =>
+      HashCode.Combine(BidPrice, BidQuantity, AskPrice, AskQuantity);
+
+   public override string ToString() =>
+      $"({BidQuantity}) {BidPrice} {AskPrice} ({AskQuantity})";
+
+   public static bool operator ==(Bbo left, Bbo right) =>
+      left.Equals(right);
+
+   public static bool operator !=(Bbo left, Bbo right) =>
+      !left.Equals(right);
+
+   public static implicit operator (double, double, double, double)(Bbo bbo) =>
+      (bbo.BidPrice, bbo.BidQuantity, bbo.AskPrice, bbo.AskQuantity);
+
+   public static implicit operator Bbo((double, double, double, double) bboTup) =>
+      (bboTup.Item1, bboTup.Item2, bboTup.Item3, bboTup.Item4);
+}

src/client/spark_api/MarketData/BookStore.cs

@@ -0,0 +1,44 @@
+#nullable enable
+namespace Spark.Api.MarketData;
+
+using mbts;
+using mbts.co2;
+
+using System.Collections.Generic;
+
+class BookStore {
+   readonly uint numDepthLevels;
+   readonly Dictionary<uint, PollableBook> books = new(0);
+   IReadOnlyDictionary<uint, SecurityMD> securityMds = new Dictionary<uint, SecurityMD>(0);
+
+   public BookStore(uint numDepthLevels = NativePriceHelpers.COCONUT_MAX_DEPTH) =>
+      this.numDepthLevels = numDepthLevels;
+
+   public BookStore(IReadOnlyDictionary<uint, SecurityMD> securityMds, uint numDepthLevels = NativePriceHelpers.COCONUT_MAX_DEPTH) {
+      this.securityMds = securityMds;
+      this.numDepthLevels = numDepthLevels;
+   }
+
+   public void OnSecurityMds(IReadOnlyDictionary<uint, SecurityMD> securityMds) {
+      this.securityMds = securityMds;
+      books.Clear();
+   }
+
+   public PollableBook? GetPollableBook(uint id) {
+      if (!books.TryGetValue(id, out var book)) {
+         if (securityMds.TryGetValue(id, out var smd)) {
+            book = new(smd, numDepthLevels);
+            books.Add(id, book);
+         }
+      }
+      return book;
+   }
+
+   public BookTuple? GetBook(uint id, bool poll = true) {
+      var pb = GetPollableBook(id);
+      if (poll) {
+         pb?.poll_changes();
+      }
+      return pb?.to_book_tuple();
+   }
+}

src/client/spark_api/MarketData/BookTuple.cs

@@ -22,6 +22,13 @@ namespace Spark.Api.MarketData {
       public SecurityImmutable security { get; }
       public uint security_id => security.Id;
       public Book book { get; }
+      public Bbo bbo {
+         get {
+            (double bidp, double bidq) = book.bids.Count > 0 ? (book.bids[0].price, book.bids[0].size) : (double.NaN, double.NaN);
+            (double askp, double askq) = book.asks.Count > 0 ? (book.asks[0].price, book.asks[0].size) : (double.NaN, double.NaN);
+            return new(bidp, bidq, askp, askq);
+         }
+      }
 
       public TickDisplaySettingsImmutable quantity_display =>
          _quantity_display ?? Security.Defaults.quantity_display_settingsi;

src/client/spark_api/MarketData/MarketDataClient.cs

@@ -180,38 +180,6 @@ namespace bts.md {
          }
       }
 
-      class PollableBook {
-         readonly SecurityMD _security_md;
-         readonly uint _num_depth_levels;
-         ulong _last_update_time = 0;
-         // Reuse the same arrays as an optimization to avoid reallocating memory on each poll.
-         // Note: this will break if the code isn't called in a thread-safe manner.
-         NativePriceSize[] _bids;
-         NativePriceSize[] _asks;
-
-         public PollableBook(SecurityMD security_md, uint num_depth_levels) {
-            _security_md = security_md;
-            _num_depth_levels = num_depth_levels;
-            _bids = new NativePriceSize[_num_depth_levels];
-            _asks = new NativePriceSize[_num_depth_levels];
-         }
-
-         public BookTuple to_book_tuple() {
-            var book = new Book(
-               _security_md.security.Id, _to_book_side(_bids), _to_book_side(_asks));
-            return new(_security_md.security, book, _security_md.quantity_display);
-         }
-
-         public bool poll_changes() =>
-            _security_md.md.get_depth(
-               ref _last_update_time, ref _bids, ref _asks, _num_depth_levels);
-
-         static List<PriceSize> _to_book_side(NativePriceSize[] native_book_side) =>
-            native_book_side
-               .Select(nps => new PriceSize(nps.size, nps.direct_size, nps.implied_size, nps.price))
-               .ToList();
-      }
-
       class PollablePriceTicker {
          readonly SecurityMD _security_md;
          ulong _bbo_poll_time = 0;

src/client/spark_api/MarketData/MarketDataExtensions.cs

@@ -0,0 +1,102 @@
+#nullable enable
+namespace Spark.Api.MarketData;
+
+using bts;
+using bts.api.core;
+
+using mbts;
+
+using Spark.Core.Reactive;
+
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Threading;
+
+public static class MarketDataExtensions {
+   public static IObservable<TableUpdate<TResult, TKey>>? JoinBbo<T, TResult, TKey>(
+      this IObservable<TableUpdate<T, TKey>> source,
+      IObservable<IReadOnlyDictionary<uint, SecurityMD>> securities,
+      Func<T, uint> getSecId,
+      Func<T, Bbo, TResult> getResult,
+      Func<TResult, TKey> getResultKey,
+      TimeSpan? pollInterval = null
+   ) where TKey : IEquatable<TKey> {
+      return source.JoinBooks(securities, getSecId, GetResult, getResultKey, pollInterval, 1);
+
+      TResult GetResult(T value, BookTuple book) =>
+         getResult(value, book.bbo);
+   }
+
+   public static IObservable<TableUpdate<(T, BookTuple), TKey>> JoinBooks<T, TKey>(
+      this IObservable<TableUpdate<T, TKey>> source,
+      IObservable<IReadOnlyDictionary<uint, SecurityMD>> securities,
+      Func<T, uint> getSecId,
+      TimeSpan? pollInterval = null,
+      uint? numDepthLevels = null
+   ) where TKey : IEquatable<TKey> {
+      // Get key function from the first update. This is for convenience (one
+      // less arg), and guarentees the key is consistent with the source data.
+      bool isKeyInitialized = false;
+      Func<T, TKey> keyFn = _ => throw new NotImplementedException(
+         "Key function expected from first update in source sequence");
+      return source.SelectInline(
+         s => {
+            if (!isKeyInitialized) {
+               isKeyInitialized = true;
+               Interlocked.Exchange(ref keyFn, Log.notnull(s.key_extractor));
+            }
+            return s;
+         })
+         .JoinBooks(securities, getSecId, (v, b) => (v, b), getKey, pollInterval, numDepthLevels);
+
+      TKey getKey((T v, BookTuple) tup) =>
+         keyFn(tup.v);
+   }
+
+   public static IObservable<TableUpdate<TResult, TKey>> JoinBooks<T, TResult, TKey>(
+      this IObservable<TableUpdate<T, TKey>> source,
+      IObservable<IReadOnlyDictionary<uint, SecurityMD>> securities,
+      Func<T, uint> getSecId,
+      Func<T, BookTuple, TResult> getResult,
+      Func<TResult, TKey> getResultKey,
+      TimeSpan? pollInterval = null,
+      uint? numDepthLevels = null
+   ) where TKey : IEquatable<TKey> {
+      pollInterval ??= TimeSpan.FromSeconds(0.1);
+      numDepthLevels ??= 5;
+      return source.CombineLatest(securities.Select(smds => new BookStore(smds)))
+         .Sample(pollInterval.Value)
+         .Scan(TableUpdate<TResult, TKey>.mk_empty(getResultKey), Accumulate);
+
+      TableUpdate<TResult, TKey> Accumulate(TableUpdate<TResult, TKey> lastOut, (TableUpdate<T, TKey>, BookStore) lastIn) {
+         var (table, bookStore) = lastIn;
+         if (table is null || bookStore is null) {
+            return lastOut;
+         }
+         var bd = lastOut.to_builder();
+         var getKey = Log.notnull(table.key_extractor);
+         var dirtyKeys = table.added.Concat(table.changes.New()).ToHashSet(getKey);
+         lock (bookStore) {
+            foreach (var secGroup in table.state.Values.GroupBy(getSecId)) {
+               var pbook = bookStore.GetPollableBook(secGroup.Key);
+               if (pbook is null) {
+                  continue;
+               }
+               bool isBookDirty = pbook.poll_changes();
+               var book = pbook.to_book_tuple();
+               var dirtyVals = secGroup.AsEnumerable();
+               if (!isBookDirty) {
+                  dirtyVals = dirtyVals.Where(v => dirtyKeys.Contains(getKey(v)));
+               }
+               foreach (var v in dirtyVals) {
+                  var result = getResult(v, book);
+                  bd.add_or_update(result);
+               }
+            }
+            return bd.to_table();
+         }
+      }
+   }
+}

src/client/spark_api/MarketData/PollableBook.cs

@@ -0,0 +1,45 @@
+#nullable enable
+
+namespace Spark.Api.MarketData;
+
+using bts.md;
+
+using mbts;
+using mbts.co2;
+
+using System.Collections.Generic;
+using System.Linq;
+
+class PollableBook {
+   readonly SecurityMD _security_md;
+   readonly uint _num_depth_levels;
+   ulong _last_update_time = 0;
+   // Reuse the same arrays as an optimization to avoid reallocating memory on each poll.
+   // Note: this will break if the code isn't called in a thread-safe manner.
+   NativePriceSize[] _bids;
+   NativePriceSize[] _asks;
+
+   public PollableBook(SecurityMD security_md, uint num_depth_levels = NativePriceHelpers.COCONUT_MAX_DEPTH) {
+      _security_md = security_md;
+      _num_depth_levels = num_depth_levels;
+      _bids = new NativePriceSize[_num_depth_levels];
+      _asks = new NativePriceSize[_num_depth_levels];
+   }
+
+   public ulong last_update_time => _last_update_time;
+
+   public BookTuple to_book_tuple() {
+      var book = new Book(
+         _security_md.security.Id, _to_book_side(_bids), _to_book_side(_asks));
+      return new(_security_md.security, book, _security_md.quantity_display);
+   }
+
+   public bool poll_changes() =>
+      _security_md.md.get_depth(
+         ref _last_update_time, ref _bids, ref _asks, _num_depth_levels);
+
+   static List<PriceSize> _to_book_side(NativePriceSize[] native_book_side) =>
+      native_book_side
+         .Select(nps => new PriceSize(nps.size, nps.direct_size, nps.implied_size, nps.price))
+         .ToList();
+}

src/client/spark_api/OrderUtilities.cs

@@ -1,19 +0,0 @@
-namespace bts.api.orderman {
-
-   public static class OrderUtilities {
-      public static NativeOrderStateImmutable? native_order_state(this OrderStateImmutable order) {
-         switch(order.CustomCase) {
-            case OrderState.CustomOneofCase.Market:
-               return order.Market.NativeState;
-            case OrderState.CustomOneofCase.Limit:
-               return order.Limit.NativeState;
-            case OrderState.CustomOneofCase.Stop:
-               return order.Stop.NativeState;
-            case OrderState.CustomOneofCase.StopLimit:
-               return order.StopLimit.NativeState;
-            default:
-            return null;
-         }
-      }
-   }
-}

src/client/spark_api/Orders/OrdersExtensions.cs

@@ -37,6 +37,20 @@ namespace Spark.Api.Orders {
       public static double fill_ratio(this OrderStateImmutable state) =>
          state.filled_quantity() / state.quantity();
 
+      public static NativeOrderStateImmutable? native_order_state(this OrderStateImmutable order) {
+         switch(order.CustomCase) {
+            case OrderState.CustomOneofCase.Market:
+               return order.Market.NativeState;
+            case OrderState.CustomOneofCase.Limit:
+               return order.Limit.NativeState;
+            case OrderState.CustomOneofCase.Stop:
+               return order.Stop.NativeState;
+            case OrderState.CustomOneofCase.StopLimit:
+               return order.StopLimit.NativeState;
+            default:
+            return null;
+         }
+      }
       #endregion
 
       public static double filled_quantity(this OrderRecordImmutable order) =>
@@ -255,7 +269,7 @@ namespace Spark.Api.Orders {
       }
 
       public static string short_description(this OrderRecordImmutable order, ContractSpecificationImmutable? spec) =>
-         $"{(order.HasDef ? order.Def.Side.ToString() : "(unknown-side)")} {(order.HasState ? ($@"{spec.format(order.State.Price)} @ {order.State.Quantity}") : "(unknown-price) @ (unknown-quantity)")}";
+         $"{(order.HasDef ? order.Def.Side.ToString() : "(unknown-side)")} {(order.HasState ? $@"{order.State.quantity()} @ {spec.format(order.State.Price)}" : "(unknown-price) @ (unknown-quantity)")}";
 
       public static string short_description(
          SecurityImmutable security, Side side, double price, double quantity) {

src/client/spark_api/Orders/WorkingOrderData.cs

@@ -0,0 +1,69 @@
+namespace bts.shell.pnl;
+
+using bts.api;
+using bts.api.orderman;
+
+using mbts.spark;
+using mbts.utils;
+
+using Spark.Api.Data;
+using Spark.Api.Orders;
+using Spark.Api.Position;
+
+using System.Collections.Generic;
+using System.Linq;
+
+readonly struct WorkingOrderData {
+   public readonly WorkingOrderSideData long_data, short_data;
+
+   WorkingOrderData(WorkingOrderSideData long_data, WorkingOrderSideData short_data) {
+      this.long_data = long_data;
+      this.short_data = short_data;
+   }
+
+   public static WorkingOrderData Empty =>
+      new(WorkingOrderSideData.EmptyLong, WorkingOrderSideData.EmptyShort);
+
+   public double top_bid =>
+      long_data.data.Count > 0 ?
+         long_data.data.First().Key :
+         double.NaN;
+
+   public double top_ask =>
+      short_data.data.Count > 0 ?
+         short_data.data.First().Key :
+         double.NaN;
+
+   public PositionPriceSize summary =>
+      new(long_data.working_total, long_data.avg_price, short_data.working_total, short_data.avg_price);
+
+   public static WorkingOrderData Create(
+      IEnumerable<OrderRecordImmutable> orders, QuantityConversionData<double> qty_conversion) =>
+      Create(orders.Select(o => (o, qty_conversion)));
+
+   public static WorkingOrderData Create(
+      IEnumerable<(OrderRecordImmutable order, QuantityConversionData<double> qty_conversion)> orders) =>
+      orders.Aggregate(Empty, (seed, tup) => seed.Add(tup.order, tup.qty_conversion));
+
+   public WorkingOrderData Add(OrderRecordImmutable order, QuantityConversionData<double> qty_conversion) {
+      if (order.working_quantity() <= 0) {
+         return new(long_data, short_data);
+      }
+      return order.side() switch {
+         Side.Buy => new(long_data.Add(order, qty_conversion), short_data),
+         Side.Sell => new(long_data, short_data.Add(order, qty_conversion)),
+         _ => throw ExceptionBuilder.Argument.unexpected_case(order.side(), "order.side"),
+      };
+   }
+
+   public WorkingOrderData Remove(OrderRecordImmutable order) {
+      if (order.working_quantity() <= 0) {
+         return new(long_data, short_data);
+      }
+      return order.side() switch {
+         Side.Buy => new(long_data.Remove(order.Key, order.price()), short_data),
+         Side.Sell => new(long_data, short_data.Remove(order.Key, order.price())),
+         _ => throw ExceptionBuilder.Argument.unexpected_case(order.side(), "order.side"),
+      };
+   }
+}

src/client/spark_api/Orders/WorkingOrdersSideData.cs

@@ -0,0 +1,128 @@
+namespace bts.shell.pnl;
+
+using bts.api;
+using bts.api.orderman;
+
+using mbts.spark;
+using mbts.utils;
+
+using Spark.Api.Data;
+using Spark.Api.Orders;
+
+using System;
+using System.Collections.Generic;
+using System.Collections.Immutable;
+using System.Linq;
+
+public readonly struct WorkingOrderSideData {
+   public readonly double avg_price, display_avg_price;
+   public readonly ImmutableSortedDictionary<double, ImmutableDictionary<uint, (OrderRecordImmutable order, QuantityConversionData<double> qty_conversion)>> data;
+   public readonly double working_total;
+   public readonly double display_working_total;
+
+   WorkingOrderSideData(
+      double avg_price,
+      double working_total,
+      double display_avg_price,
+      double display_working_total,
+      ImmutableSortedDictionary<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>> data
+   ) {
+      this.avg_price = avg_price;
+      this.working_total = working_total;
+      this.display_avg_price = display_avg_price;
+      this.data = data;
+      this.display_working_total = display_working_total;
+   }
+
+   public static WorkingOrderSideData EmptyLong => new(
+      double.NaN, 0, double.NaN, 0,
+      ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>>(
+         new ReverseComparer<double>(new OrderPriceComparer())));
+
+   public static WorkingOrderSideData EmptyShort => new(
+      double.NaN, 0, double.NaN, 0,
+      ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>>(
+         new OrderPriceComparer()));
+
+   public double top_price =>
+      data.Count > 0 ?
+         data.First().Key :
+         double.NaN;
+
+   public double top_volume =>
+      data.Count > 0 ?
+         data.Values.First().Values.Sum(o => o.order.working_quantity()) :
+         0;
+
+   public double display_top_volume =>
+      data.Count > 0 ?
+         data.Values.First().Values.Sum(o => o.qty_conversion
+            .convert_numeric_type<double>()
+            .to_display(o.order.working_quantity())) :
+         0;
+
+   public WorkingOrderSideData Add(OrderRecordImmutable order_record) =>
+      Add(order_record, new());
+
+   public WorkingOrderSideData Add(
+      OrderRecordImmutable order_record, QuantityConversionData<double> qty_conversion) {
+      var working_qty = order_record.working_quantity();
+      if (working_qty <= 0)
+         throw new ArgumentException(nameof(working_qty));
+      uint order = order_record.Key;
+      var dworking_qty = qty_conversion.to_display(working_qty);
+      double price = order_record.price();
+      if (working_total == 0) {
+         Log.assert(display_working_total == 0);
+         return new WorkingOrderSideData(price, working_qty, display_avg_price, dworking_qty, data.Add(
+            price, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>.Empty.Add(order, (order_record, qty_conversion))));
+      } else return new WorkingOrderSideData(
+           avg_price + ((price - avg_price) * ((double)working_qty / (working_total + working_qty))),
+           working_total + working_qty,
+           display_avg_price + ((price - display_avg_price) * ((double)dworking_qty / (display_working_total + dworking_qty))),
+           display_working_total + dworking_qty,
+           data.SetItem(price, data.TryGetValue(price, out var curr) ?
+              curr.Add(order, (order_record, qty_conversion)) :
+              ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>.Empty.Add(order, (order_record, qty_conversion))));
+   }
+
+   public WorkingOrderSideData Remove(uint order, double price) {
+      var tmp_data = data;
+      if (!tmp_data.TryGetValue(price, out var wdata))
+         throw new KeyNotFoundException(nameof(price));
+      if (!wdata.TryGetValue(order, out var worder))
+         throw new KeyNotFoundException(nameof(order));
+      var wqty = worder.order.working_quantity();
+      var dwqty = worder.qty_conversion.to_display(wqty);
+      wdata = wdata.Remove(order);
+      if (wdata.Count == 0)
+         tmp_data = tmp_data.Remove(price);
+      if (tmp_data.Count == 0)
+         return new(
+            double.NaN, 0, double.NaN, 0,
+            ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>>(
+               data.KeyComparer));
+      return new(
+         avg_price - ((price - avg_price) * (wqty / (working_total - wqty))),
+         working_total - wqty,
+         display_avg_price - ((price - display_avg_price) * (dwqty / (display_working_total - dwqty))),
+         display_working_total - dwqty,
+         tmp_data);
+   }
+
+   public override string ToString() {
+      if (data.Count > 0) {
+         if (display_working_total == 0) {
+            return string.Empty;
+         }
+         var spec = Security.Defaults.ContractSpecificationImmutable;
+         var best_order = data.Values.First().Values.First();
+         var best_price_volume = best_order.qty_conversion.to_display(best_order.order.working_quantity());
+         var best_price = best_order.order.price();
+         return display_working_total == best_price_volume ?
+            $"{best_price_volume} @ {spec.format(best_price)}" :
+            $"{best_price_volume} ({display_working_total}) @ {spec.format(best_price)}";
+      }
+      return string.Empty;
+   }
+}

src/client/spark_api/data/DisplayQuantityMultiplier.cs

@@ -0,0 +1,99 @@
+namespace Spark.Api.Data;
+
+using mbts.ui;
+
+using System;
+using System.Collections.Generic;
+using System.Numerics;
+
+public class DisplayQuantityMultiplier<T> : IDisplayTranslator<T> where T : struct, INumber<T> {
+   readonly Func<QuantityConversionData<T>, T, T> _to_display, _from_display;
+   readonly IEqualityComparer<T> _comparer;
+   T _actual_value;
+   QuantityConversionData<T> _conversion_data;
+
+   public DisplayQuantityMultiplier(
+      Func<QuantityConversionData<T>, T, T> to_display,
+      Func<QuantityConversionData<T>, T, T> from_display,
+      IEqualityComparer<T> comparer = null,
+      T actual_value = default,
+      QuantityConversionData<T> conversion_data = default) {
+      //
+      _to_display = to_display ?? throw new ArgumentNullException(nameof(to_display));
+      _from_display = from_display ?? throw new ArgumentNullException(nameof(from_display));
+      _comparer = comparer ?? EqualityComparer<T>.Default;
+      _actual_value = actual_value;
+      _conversion_data = conversion_data;
+   }
+
+   public event Action value_changed;
+
+   public T actual_value {
+      get => _actual_value;
+      set {
+         if (!_comparer.Equals(_actual_value, value)) {
+            _actual_value = value;
+            value_changed?.Invoke();
+         }
+      }
+   }
+
+   public T display_value {
+      get => _to_display(_conversion_data, _actual_value);
+      set => actual_value = _from_display(_conversion_data, value);
+   }
+
+   public QuantityConversionData<T> conversion_data {
+      get => _conversion_data;
+      set {
+         if (_conversion_data != value) {
+            _conversion_data = value;
+            value_changed?.Invoke();
+         }
+      }
+   }
+}
+
+public class OptionalDisplayQuantityMultiplier<T> : IDisplayTranslator<T?> where T : struct, INumber<T> {
+   T? _actual_value;
+   QuantityConversionData<T> _conversion_data;
+
+   public event Action value_changed;
+
+   public T? actual_value {
+      get => _actual_value;
+      set {
+         if (_actual_value != value) {
+            _actual_value = value;
+            value_changed?.Invoke();
+         }
+      }
+   }
+
+   public T? display_value {
+      get => _actual_value.HasValue ?
+         _conversion_data.to_display(_actual_value.Value) : _actual_value;
+      set => actual_value = value.HasValue ?
+         _conversion_data.from_display(value.Value) : value;
+   }
+
+   public QuantityConversionData<T> conversion_data {
+      get => _conversion_data;
+      set {
+         if (_conversion_data != value) {
+            _conversion_data = value;
+            value_changed?.Invoke();
+         }
+      }
+   }
+}
+
+public static class DisplayQuantityMultiplier {
+   public static DisplayQuantityMultiplier<uint> create_uint() => new(
+      DisplayTranslatorExtensions.to_display,
+      DisplayTranslatorExtensions.from_display);
+
+   public static DisplayQuantityMultiplier<double> create_double() => new(
+      DisplayTranslatorExtensions.to_display,
+      DisplayTranslatorExtensions.from_display);
+}

src/client/spark_api/data/ExpirationDate.cs

@@ -0,0 +1,67 @@
+namespace Spark.Api.Data;
+
+using bts.api;
+
+using mbts.utils;
+
+using System;
+
+public enum ExpirationDateType {
+   None = 0,
+   FixedDate = 1,
+   Perpetual = 2
+}
+
+public readonly struct ExpirationDate : IEquatable<ExpirationDate>, IComparable<ExpirationDate> {
+   public ExpirationDate(DateTime value, ExpirationDateType type) {
+      Value = value;
+      Type = type;
+   }
+
+   public static ExpirationDate None => new(default, ExpirationDateType.None);
+   public static ExpirationDate Perpetual => new(default, ExpirationDateType.Perpetual);
+   public static ExpirationDate FixedDate(DateTime dateTime) => new(dateTime, ExpirationDateType.FixedDate);
+
+   public DateTime Value { get; }
+   public ExpirationDateType Type { get; }
+
+   static ComparerBuilder<ExpirationDate> comparer = new ComparerBuilder<ExpirationDate>() {
+      ed => ed.Type,
+      ed => ed.Value
+   };
+
+   public int CompareTo(ExpirationDate other) =>
+      comparer.Compare(this, other);
+
+   public bool Equals(ExpirationDate other) =>
+      Value == other.Value && Type == other.Type;
+
+   public override bool Equals(object obj) =>
+      obj is ExpirationDate other && Equals(other);
+
+   public override int GetHashCode() =>
+      HashCode.Combine(Value.GetHashCode(), (int)Type);
+
+   public override string ToString() =>
+      ToString(DateFormat.DayMonthAbvDiff2000);
+
+   public string ToString(DateFormat dateFormat) =>
+      Type switch {
+         ExpirationDateType.None => "None",
+         ExpirationDateType.FixedDate => DateFormatter.Format(Value, dateFormat),
+         ExpirationDateType.Perpetual => "Perp",
+         _ => "Invalid",
+      };
+
+   public static bool operator ==(ExpirationDate left, ExpirationDate right) =>
+      left.Equals(right);
+
+   public static bool operator !=(ExpirationDate left, ExpirationDate right) =>
+      !left.Equals(right);
+
+   public static bool operator <(ExpirationDate left, ExpirationDate right) =>
+      comparer.Compare(left, right) < 0;
+
+   public static bool operator >(ExpirationDate left, ExpirationDate right) =>
+      comparer.Compare(left, right) > 0;
+}

src/client/spark_api/data/IDisplayTranslator.cs

@@ -0,0 +1,60 @@
+using bts.utils;
+
+using Spark.Core.Disposables;
+
+using System;
+using System.Collections.Generic;
+using System.Numerics;
+using System.Reactive.Linq;
+
+namespace Spark.Api.Data;
+
+public interface IDisplayTranslator<T> {
+   T display_value { get; set; }
+   T actual_value { get; set; }
+   event Action value_changed;
+}
+
+public static class DisplayTranslatorExtensions {
+   public static IObservable<T> subscribe_actual_value<T>(
+      this IDisplayTranslator<T> display_translator) =>
+      subscribe_actual_value(display_translator, EqualityComparer<T>.Default);
+
+   public static IObservable<T> subscribe_actual_value<T>(
+      this IDisplayTranslator<T> display_translator, IEqualityComparer<T> comparer) {
+      if (comparer is null)
+         throw new ArgumentNullException(nameof(comparer));
+      return Observable.Create<T>(o => {
+         var curr = display_translator.actual_value;
+         o.OnNext(curr);
+         display_translator.value_changed += on_value_changed;
+         return Disposable.Create(() => display_translator.value_changed -= on_value_changed);
+         void on_value_changed() {
+            var next = display_translator.actual_value;
+            if (!comparer.Equals(curr, next))
+               o.OnNext(curr = next);
+         }
+      });
+   }
+
+   public static T to_display<T>(
+      this QuantityConversionData<T> quantity_conversion_data, T actual_value)
+      where T : INumber<T> =>
+      quantity_conversion_data.op switch {
+         QuantityConversionOpType.DivideActual =>
+            actual_value.safe_divide(quantity_conversion_data.value),
+         QuantityConversionOpType.MultiplyActual =>
+            actual_value * quantity_conversion_data.value,
+         _ => actual_value,
+      };
+
+   public static T from_display<T>(
+      this QuantityConversionData<T> quantity_conversion_data, T display_value)
+      where T : INumber<T> =>
+      quantity_conversion_data.op switch {
+         QuantityConversionOpType.DivideActual => display_value * quantity_conversion_data.value,
+         QuantityConversionOpType.MultiplyActual =>
+            display_value.safe_divide(quantity_conversion_data.value),
+         _ => display_value,
+      };
+}

src/client/spark_api/data/QuantityConversionData.cs

@@ -0,0 +1,43 @@
+namespace Spark.Api.Data;
+
+using Spark.Core;
+
+using System;
+using System.Numerics;
+
+public enum QuantityConversionOpType {
+   None,
+   MultiplyActual,
+   DivideActual
+}
+
+public readonly struct QuantityConversionData<T> : IEquatable<QuantityConversionData<T>>
+   where T : INumber<T> {
+   public QuantityConversionData(T value, QuantityConversionOpType op) {
+      this.value = value;
+      this.op = op;
+   }
+
+   public T value { get; }
+   public QuantityConversionOpType op { get; }
+
+   public QuantityConversionData<TResult> convert_numeric_type<TResult>()
+      where TResult : INumber<TResult> =>
+      new(NumericCastConverter<T, TResult>.convert(value), op);
+
+   public bool Equals(QuantityConversionData<T> other) =>
+      value == other.value &&
+      op == other.op;
+
+   public override bool Equals(object obj) =>
+      obj is QuantityConversionData<T> other && Equals(other);
+
+   public override int GetHashCode() =>
+      HashCode.Combine(value, op);
+
+   public static bool operator ==(QuantityConversionData<T> x, QuantityConversionData<T> y) =>
+      x.Equals(y);
+
+   public static bool operator !=(QuantityConversionData<T> x, QuantityConversionData<T> y) =>
+      !x.Equals(y);
+}

src/client/spark_api/data/SecurityCriteria.cs

@@ -5,6 +5,7 @@ namespace mbts.spark {
 
    using ProtoBuf;
 
+   using Spark.Api.Data;
    using Spark.Core.Collections;
    using Spark.Core.Protobuf;
 
@@ -27,6 +28,15 @@ namespace mbts.spark {
       internal static SecurityCriteria from_keys(IEnumerable<uint> keys) =>
          new(new[] { new SecurityCriteriaClause(security_keys: keys.ToArray()) });
 
+      internal static SecurityCriteria from_expirations(params ExpirationDate[] exp_dates) =>
+         new(new[] { new SecurityCriteriaClause(expirations: exp_dates) });
+
+      internal static SecurityCriteria from_expirations(params DateTime[] exp_dates) =>
+         from_expirations(exp_dates.AsEnumerable());
+
+      internal static SecurityCriteria from_expirations(IEnumerable<DateTime> expirations) =>
+         new(new[] { SecurityCriteriaClause.from_expirations(expirations) });
+
       internal static SecurityCriteria from_securities(params SecurityImmutable[] securities) =>
          from_securities(securities.AsEnumerable());
 

src/client/spark_api/data/SecurityCriteriaClause.cs

@@ -4,6 +4,7 @@ namespace mbts.spark {
 
    using ProtoBuf;
 
+   using Spark.Api.Data;
    using Spark.Core.Collections;
    using Spark.Core.Protobuf;
 
@@ -17,12 +18,12 @@ namespace mbts.spark {
          Venue[]? exchanges = null,
          SecurityType[]? security_types = null,
          string[]? symbols = null,
-         DateTime[]? expirations = null,
+         ExpirationDate[]? expirations = null,
          uint[]? security_keys = null,
          string? pretty_name = null,
          double[]? strikes = null,
          PutOrCall[]? callputs = null,
-         string[]? names= null
+         string[]? names = null
       ) {
          this.exchanges = exchanges;
          this.security_types = security_types;
@@ -32,7 +33,7 @@ namespace mbts.spark {
          this.pretty_name = pretty_name;
          this.strikes = strikes;
          this.callputs = callputs;
-         this.names=names;
+         this.names = names;
       }
 
       public static SecurityCriteriaClause from_securities(
@@ -58,6 +59,20 @@ namespace mbts.spark {
          return new SecurityCriteriaClause(security_keys: keys, pretty_name: pretty_name);
       }
 
+      public static SecurityCriteriaClause from_expirations(IEnumerable<DateTime> expirations) {
+         return expirations is null
+            ? new()
+            : from_expirations(expirations.Select(convert).ToArray());
+
+         static ExpirationDate convert(DateTime e) =>
+            Security.is_perpetual_exp(e)
+               ? ExpirationDate.Perpetual
+               : ExpirationDate.FixedDate(e);
+      }
+
+      public static SecurityCriteriaClause from_expirations(params ExpirationDate[] expirations) =>
+         new(expirations: expirations);
+
       [ProtoMember(1)]
       public string? pretty_name { get; }
 
@@ -71,7 +86,7 @@ namespace mbts.spark {
       public string[]? symbols { get; }
 
       // Not stored in protobuf (yet)
-      public DateTime[]? expirations { get; }
+      public ExpirationDate[]? expirations { get; }
 
       [ProtoMember(5)]
       public uint[]? security_keys { get; }

src/client/spark_api/data/SecurityCriteriaExtensions.cs

@@ -3,6 +3,8 @@ namespace mbts.spark {
    using bts.api;
    using bts.collections;
 
+   using Spark.Api.Data;
+
    using System;
    using System.Collections.Generic;
    using System.Diagnostics.CodeAnalysis;
@@ -180,7 +182,7 @@ namespace mbts.spark {
          Venue[]? exchanges = null,
          SecurityType[]? security_types = null,
          string[]? symbols = null,
-         DateTime[]? expirations = null,
+         ExpirationDate[]? expirations = null,
          uint[]? security_keys = null,
          string? pretty_name = null,
          double[]? strikes = null,

src/client/spark_api/data/ticks/TickExtensions.cs

@@ -567,6 +567,9 @@ namespace mbts {
       public static double round(this bts.api.domain.TickFactorsImmutable tick, double input) =>
          _round_tick(tick.tick_unit_frac(), input);
 
+      public static void round(this bts.api.domain.TickFactorsImmutable tick, ref double input) =>
+         input = _round_tick(tick.tick_unit_frac(), input);
+
       public static double round(this RegionalTickFactors regional_tick, double input) {
          if (DoubleHelper.IsNaNOrInfinity(input)) {
             return input;

src/client/spark_api/security/Security.cs

@@ -13,7 +13,7 @@ namespace bts.api {
       public static security_key key(Security s) { return s.Id; }
 
       public static bool is_perpetual_exp(DateTime exp) =>
-         exp.Year < 2000 || exp.Year > 2999;
+         exp.Year < 2000 || exp.Year > 2099;
 
       public static class Defaults {
          public static ContractSpecification ContractSpecification =>

src/client/spark_api/security/SecurityComparer.cs

@@ -1,9 +1,8 @@
 namespace bts.api {
-   using mbts.utils;
+   using Spark.Core.Collections;
 
    using System;
    using System.Collections.Generic;
-   using System.Linq;
 
    class SecurityComparer : IComparer<Security>, IComparer<SecurityImmutable> {
       static readonly SecurityComparer _instance = new();
@@ -25,182 +24,24 @@ namespace bts.api {
       }
 
       public static int compare(SecurityImmutable x, SecurityImmutable y) {
-         int c = non_deterministic_impl();
-         if (c == 0) {
-            c = x.ToString().CompareTo(y.ToString());
-            if (c == 0) {
-               c = x.Id.CompareTo(y.Id);
+         var xlegs = new ContractLegEnumerable(x);
+         var ylegs = new ContractLegEnumerable(y);
+         using var xen = xlegs.GetEnumerator();
+         using var yen = ylegs.GetEnumerator();
+         int c = 0;
+         while (xen.MoveNext()) {
+            if (!yen.MoveNext()) {
+               return 1;
+            }
+            c = new ComparisonCriteria(xen.Current).CompareTo(new(yen.Current));
+            if (c != 0) {
+               return c;
             }
          }
-         return c;
-
-         // this has been observed to be non-determinisitc with certain ICE securities
-         // (it is determenistic with other exchanges..as far as we know).
-         int non_deterministic_impl() {
-            // | Type 1 | Type 2 | Comp Hierarchy         |
-            // |------------------------------------------|
-            // | SPOT   | SPOT   | sym, curr              |
-            // | SPOT   | FUT    | sym, curr              |
-            // | SPOT   | OPT    | SPOT < OPT             |
-            // | SPOT   | SPREAD | * SPOT < SPREAD        |
-            // | SPOT   | SYNTH  | * SPOT < SYNTH         |
-            // | FUT    | FUT    | sym, exp, curr         |
-            // | FUT    | OPT    | * FUT < OPT            |
-            // | FUT    | SPREAD | * FUT < SPREAD         |
-            // | FUT    | SYNTH  | * FUT < SYNTH          |
-            // | OPT    | OPT    | sym, exp, curr, k, c/p |
-            // | OPT    | SPREAD | OPT <=> first leg      |
-            // | OPT    | SYNTH  | OPT <=> first leg      |
-            // | SPREAD | SPREAD | legs <=> legs          |
-            // | SPREAD | SYNTH  | legs <=> legs          |
-            //
-            // * comp result is constant (there is no comp hierarchy)
-
-            return x.ContractCase switch {
-               Security.ContractOneofCase.Future =>
-                  y.ContractCase switch {
-                     Security.ContractOneofCase.Spot =>
-                        new ComparerBuilder<SecurityImmutable> {
-                           s => s.Symbol,
-                           s => s.Currency
-                        }.Compare(x, y),
-                     Security.ContractOneofCase.Future =>
-                        new ComparerBuilder<SecurityImmutable> {
-                           s => s.Symbol,
-                           s => s.Future.expiration_date()
-                        }.Compare(x, y),
-                     Security.ContractOneofCase.Option or
-                     Security.ContractOneofCase.Spread or
-                     Security.ContractOneofCase.Synthetic => -1,
-                     _ => 1,
-                  },
-               Security.ContractOneofCase.Spot =>
-                  y.ContractCase switch {
-                     Security.ContractOneofCase.Spot or
-                     Security.ContractOneofCase.Future =>
-                        new ComparerBuilder<SecurityImmutable> {
-                           s => s.Symbol,
-                           s => s.Currency
-                        }.Compare(x, y),
-                     _ => -1,
-                  },
-               Security.ContractOneofCase.Option or
-               Security.ContractOneofCase.Spread or
-               Security.ContractOneofCase.Synthetic =>
-                  y.ContractCase switch {
-                     Security.ContractOneofCase.Spread or
-                     Security.ContractOneofCase.Synthetic or
-                     Security.ContractOneofCase.Option => compare_flat_legs(),
-                     _ => 1,
-                  },
-               Security.ContractOneofCase.None =>
-                  y.ContractCase == Security.ContractOneofCase.None ? 0 : -1,
-               _ => throw new InvalidOperationException(),
-            };
+         if (yen.MoveNext()) {
+            return -1;
          }
-
-         int compare_flat_legs() {
-            var xlegs = new ContractLegEnumerable(x).ToList();
-            var ylegs = new ContractLegEnumerable(y).ToList();
-            int max = Math.Min(xlegs.Count, ylegs.Count);
-            for (int i = 0; i < max; i++) {
-               var xleg = xlegs[i];
-               var yleg = ylegs[i];
-               int comp = _compare(
-                     xleg.Security, xleg.signed_quantity(),
-                     yleg.Security, yleg.signed_quantity());
-               if (comp != 0) {
-                  return comp;
-               }
-            }
-            return xlegs.Count.CompareTo(ylegs.Count);
-         }
-      }
-
-      public static int compare(string x_sym, FutureContract x, string y_sym, FutureContract y) {
-         int sym_comp = x_sym.CompareTo(y_sym);
-         return sym_comp == 0 ? x.expiration_date().CompareTo(y.expiration_date()) : sym_comp;
-      }
-
-      public static int compare(string x_sym, FutureContractImmutable x, string y_sym, FutureContractImmutable y) {
-         int sym_comp = x_sym.CompareTo(y_sym);
-         return sym_comp == 0 ? x.expiration_date().CompareTo(y.expiration_date()) : sym_comp;
-      }
-
-      /// <summary>
-      /// Compares option/future securities
-      /// </summary>
-      /// <exception cref="ArgumentException"/>
-      static int _compare(SecurityImmutable x, double xqty, SecurityImmutable y, double yqty) {
-         static bool is_valid_sec_type(SecurityImmutable sec) =>
-            sec.ContractCase switch {
-               Security.ContractOneofCase.Spot or
-               Security.ContractOneofCase.Future or
-               Security.ContractOneofCase.Option => true,
-               _ => false
-            };
-         if (!is_valid_sec_type(x)) {
-            throw new ArgumentException("Security not of type Option or Future", nameof(x));
-         }
-         if (!is_valid_sec_type(y)) {
-            throw new ArgumentException("Security not of type Option or Future", nameof(y));
-         }
-
-         // symbol
-         int comp = string.Compare(x.Symbol, y.Symbol);
-         if (comp != 0) {
-            return comp;
-         }
-
-         // expiration
-         var xexp = x.security_expiration();
-         var yexp = y.security_expiration();
-         if (xexp.HasValue) {
-            if (!yexp.HasValue) {
-               return -1;
-            }
-            comp = xexp.Value.CompareTo(yexp.Value);
-            if (comp != 0) {
-               return comp;
-            }
-         } else if (yexp.HasValue) {
-            return 1;
-         }
-
-         // strike
-         var xk = x.strike();
-         var yk = y.strike();
-         if (double.IsNaN(xk) != double.IsNaN(yk)) {
-            return double.IsNaN(xk) ? -1 : 1;
-         }
-         if (!double.IsNaN(xk)) {
-            comp = xk.CompareTo(yk);
-            if (comp != 0) {
-               return comp;
-            }
-         }
-
-         // security type
-         comp = x.ContractCase.CompareTo(y.ContractCase);
-         if (comp != 0) {
-            return comp;
-         }
-
-         // quantity
-         comp = xqty.CompareTo(yqty);
-         if (comp != 0) {
-            return comp;
-         }
-
-         // venue
-         comp = x.Exchange.CompareTo(y.Exchange);
-         if (comp != 0) {
-            return comp;
-         }
-
-         // id
-         comp = x.Id.CompareTo(y.Id);
-         return comp;
+         return 0;
       }
 
       int IComparer<Security>.Compare(Security x, Security y) =>
@@ -208,5 +49,65 @@ namespace bts.api {
 
       int IComparer<SecurityImmutable>.Compare(SecurityImmutable x, SecurityImmutable y) =>
          compare(x, y);
+
+      readonly struct ComparisonCriteria : IComparable<ComparisonCriteria> {
+         readonly SecurityImmutable security;
+         readonly double legQty;
+
+         public ComparisonCriteria(SecurityImmutable security) {
+            this.security = security;
+            legQty = 1;
+         }
+
+         public ComparisonCriteria(ContractLegImmutable leg) {
+            security = leg.Security;
+            legQty = leg.signed_quantity();
+         }
+
+         public string Symbol => security.Symbol;
+         public DateTime? Expiration => security.ContractCase switch {
+            Security.ContractOneofCase.Future => security.Future.expiration_date(),
+            Security.ContractOneofCase.Option => security.Option.expiration_date(),
+            _ => null,
+         };
+         public string Currency => security.Currency;
+         public double? Strike => security.HasOption ? security.Option.Strike : null;
+         public PutOrCall? CallPut => security.HasOption ? security.Option.CallPut : null;
+         public Venue Exchange => security.Exchange;
+         public uint Id => security.Id;
+
+         public int CompareTo(ComparisonCriteria other) {
+            var c = string.Compare(Symbol, other.Symbol);
+            if (c != 0) {
+               return c;
+            }
+            c = NullCheckComparer.Compare(Expiration, other.Expiration);
+            if (c != 0) {
+               return c;
+            }
+            c = string.Compare(Currency, other.Currency);
+            if (c != 0) {
+               return c;
+            }
+            c = NullCheckComparer.Compare(Strike, other.Strike);
+            if (c != 0) {
+               return c;
+            }
+            c = NullCheckComparer.Compare(CallPut, other.CallPut);
+            if (c != 0) {
+               return c;
+            }
+            c = NullCheckComparer.Compare(Exchange, other.Exchange);
+            if (c != 0) {
+               return c;
+            }
+            c = legQty.CompareTo(other.legQty);
+            if (c != 0) {
+               return c;
+            }
+            c = Id.CompareTo(other.Id);
+            return c;
+         }
+      }
    }
 }

src/client/spark_api/security/SecurityExtensions.cs

@@ -1,4 +1,6 @@
 namespace bts.api {
+   using Spark.Api.Data;
+
    using System;
    using System.Collections.Generic;
    using System.Linq;
@@ -37,15 +39,20 @@ namespace bts.api {
          };
       }
 
-      public static IEnumerable<DateTime> normal_expirations(this SecurityImmutable security) =>
-         security.ContractCase switch {
-            Security.ContractOneofCase.Future => new[] { security.Future.expiration_date() },
-            Security.ContractOneofCase.Option => new[] { security.Option.expiration_date() },
+      public static IEnumerable<ExpirationDate> normal_expirations(this SecurityImmutable security) {
+         return security.ContractCase switch {
+            Security.ContractOneofCase.Spot => new[] { ExpirationDate.None },
+            Security.ContractOneofCase.Future => new[] { future_exp(security.Future.expiration_date()) },
+            Security.ContractOneofCase.Option => new[] { ExpirationDate.FixedDate(security.Option.expiration_date()) },
             Security.ContractOneofCase.Spread => security.Spread.Legs.SelectMany(l => l.Security.normal_expirations()),
             Security.ContractOneofCase.Synthetic => security.Synthetic.Legs.SelectMany(l => l.Security.normal_expirations()),
-            _ => Enumerable.Empty<DateTime>()
+            _ => Enumerable.Empty<ExpirationDate>()
          };
 
+         static ExpirationDate future_exp(DateTime exp_date) =>
+            Security.is_perpetual_exp(exp_date) ? ExpirationDate.Perpetual : ExpirationDate.FixedDate(exp_date);
+      }
+
       public static ProductImmutable product(this SecurityImmutable security) =>
          new(new() {
             Exchange = security.Exchange,
@@ -68,7 +75,7 @@ namespace bts.api {
       public static DateTime expiration_date(this FutureContractImmutable future) =>
          new((int)future.ExpirationYear, (int)future.ExpirationMonth, (int)future.ExpirationDay);
 
-      internal static DateTime earliest_expiration(this SecurityImmutable security) =>
+      internal static ExpirationDate earliest_expiration(this SecurityImmutable security) =>
          security.normal_expirations().Min();
 
       public static double strike(this SecurityImmutable security) =>
@@ -135,6 +142,7 @@ namespace bts.api {
             domain.SecurityType.Future => SecurityType.Future,
             domain.SecurityType.Option => SecurityType.Option,
             domain.SecurityType.Spread => SecurityType.Spread,
+            domain.SecurityType.Synthetic => SecurityType.Synthetic,
             domain.SecurityType.Unspecified => SecurityType.Unset,
             _ => throw new NotImplementedException(),
          };
@@ -145,6 +153,7 @@ namespace bts.api {
             SecurityType.Future => domain.SecurityType.Future,
             SecurityType.Option => domain.SecurityType.Option,
             SecurityType.Spread => domain.SecurityType.Spread,
+            SecurityType.Synthetic => domain.SecurityType.Synthetic,
             SecurityType.Unset => domain.SecurityType.Unspecified,
             _ => throw new NotImplementedException(),
          };

src/client/spark_api/security/SecurityFormatter.cs

@@ -1,4 +1,6 @@
 namespace bts.api {
+   using Spark.Api.Data;
+
    using System;
    using System.Collections.Concurrent;
    using System.Collections.Generic;
@@ -106,8 +108,10 @@
          string? symbol = null,
          Security.ContractOneofCase? type = null,
          DateFormat date_format = DateFormat.DayMonthAbvDiff2000) {
-         var result = Security.is_perpetual_exp(exp_date) ?
-            "Perp" : DateFormatter.Format(exp_date, date_format);
+         var exp_type = Security.is_perpetual_exp(exp_date)
+            ? ExpirationDateType.Perpetual
+            : ExpirationDateType.FixedDate;
+         var result = new ExpirationDate(exp_date, exp_type).ToString(date_format);
          if (symbol is not null) {
             result = symbol + " " + result;
          }

src/client/spark_core/Collections/Operable/Hierarchical/OperableHierarchicalCollectionModel.cs

@@ -1,149 +1,149 @@
-using System;
-using System.Collections.Generic;
-using System.Linq;
-
-namespace bts.collections {
-   class OperableHierarchicalCollectionModel<TRow, T, TKey> where TKey : IEquatable<TKey> where TRow : IHierarchicalRow<T> {
-      readonly Func<T, TRow> _row_factory;
-      readonly Func<T, TKey> _key;
-      SortedTree<TRow, TKey> _tree;
-      IComparer<TRow> _comparer;
-      Func<TRow, bool> _filter;
-      List<INode<TRow>> _cached_filtered = new List<INode<TRow>>();
-
-      public OperableHierarchicalCollectionModel(Func<T, TRow> row_factory, Func<T, TKey> key, Func<T, TKey> parent_key, TKey no_parent_key, IComparer<TRow> comparer) {
-         _row_factory = row_factory;
-         _tree = new SortedTree<TRow, TKey>(_comparer = comparer, el => key(el.value), el => parent_key(el.value), no_parent_key);
-         _key = key;
-      }
-
-      public IComparer<TRow> comparer {
-         get => _comparer;
-         set {
-            _tree = _tree.Resort(_comparer = value);
-            _cached_filtered = null;
-         }
-      }
-      public Func<TRow, bool> filter {
-         get => _filter;
-         set {
-            _filter = value;
-            _cached_filtered = null;
-            _refresh_hierarchical_props();
-         }
-      }
-      public IEnumerable<TRow> rows {
-         get {
-            return _root_nodes.SelectMany(impl);
-            IEnumerable<TRow> impl(INode<TRow> n) {
-               yield return n.value;
-               if (n.value.is_expanded) {
-                  foreach (var _n in n.inner.SelectMany(impl))
-                     yield return _n;
-               }
-            }
-         }
-      }
-
-      public IEnumerable<TRow> all_rows {
-         get {
-            return _root_nodes.SelectMany(impl);
-            IEnumerable<TRow> impl(INode<TRow> n) {
-               yield return n.value;
-               foreach (var _n in n.inner.SelectMany(impl))
-                  yield return _n;
-            }
-         }
-      }
-
-      public int total_row_count { get; private set; }
-
-      IEnumerable<INode<TRow>> _root_nodes =>
-         _filter == null ? _tree.RootNodes : _cached_filtered ?? (_cached_filtered = _tree.RootNodes.filtered(_filter).sorted_hard(_comparer));
-
-      public IEnumerable<TRow> GetAllRows(bool excludeFiltered = false) =>
-         excludeFiltered ? all_rows : _tree;
-      // collapse
-      public void collapse_row(TKey key) => _toggle_is_expanded(key, false);
-      public void collapse_all() => _toggle_is_expanded(false);
-      // expand
-      public void expand_row(TKey key) => _toggle_is_expanded(key, true);
-      public void expand_all() => _toggle_is_expanded(true);
-      // lookups
-      public bool try_get_row(TKey key, out TRow row) {
-         if (_tree.TryGetNode(key, out var node)) {
-            row = node.value;
-            return true;
-         }
-         row = default;
-         return false;
-      }
-
-      public TRow get_parent(TKey key) {
-         if (try_get_row(key, out TRow r)) {
-            return _tree.GetParent(r).value;
-         }
-         return default;
-      }
-
-      public IEnumerable<TRow> get_descendent_rows(TKey key) {
-         if (_tree.TryGetNode(key, out var n)) {
-            yield return n.value;
-            foreach (var v in n.inner_values())
-               yield return v;
-         }
-      }
-
-      // update
-      public void update(IEnumerable<T> added, IEnumerable<T> changed, IEnumerable<TKey> removed) {
-         foreach (var k in removed) {
-            if (_tree.Remove(k))
-               total_row_count--;
-         }
-         foreach (var v in changed) {
-            _tree.TryReplace(_key(v), r => { r.on_value_changed(v); return r; });
-         }
-         foreach (var v in added) {
-            if (_tree.Insert(_row_factory(v)))
-               total_row_count++;
-         }
-         _cached_filtered = null;
-         _refresh_hierarchical_props();
-      }
-
-      void _refresh_hierarchical_props() {
-         foreach (var n in _root_nodes)
-            impl(n, 0);
-         void impl(INode<TRow> n, int depth_level) {
-            if (n.value.depth_level != depth_level) {
-               n.value.on_depth_level_changed(depth_level);
-            }
-            using (var en = n.inner.GetEnumerator()) {
-               if (en.MoveNext()) {
-                  if (!n.value.is_parent)
-                     n.value.on_is_parent_changed(true);
-                  depth_level++;
-                  do impl(en.Current, depth_level);
-                  while (en.MoveNext());
-               } else if (n.value.is_parent)
-                  n.value.on_is_parent_changed(false);
-            }
-         }
-      }
-
-      void _toggle_is_expanded(TKey key, bool is_expanded) =>
-         _tree.TryReplace(key, r => {
-            if (r.is_expanded != is_expanded)
-               r.on_is_expanded_changed(is_expanded);
-            return r;
-         });
-
-      void _toggle_is_expanded(bool is_expanded) {
-         foreach (var row in _tree)
-            if (row.is_expanded != is_expanded)
-               row.on_is_expanded_changed(is_expanded);
-      }
-
-      T _value_selector(TRow row) => row.value;
-   }
-}
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace bts.collections {
+   class OperableHierarchicalCollectionModel<TRow, T, TKey> where TKey : IEquatable<TKey> where TRow : IHierarchicalRow<T> {
+      readonly Func<T, TRow> _row_factory;
+      readonly Func<T, TKey> _key;
+      SortedTree<TRow, TKey> _tree;
+      IComparer<TRow> _comparer;
+      Func<TRow, bool> _filter;
+      IEnumerable<INode<TRow>> _cached_filtered = Enumerable.Empty<INode<TRow>>();
+
+      public OperableHierarchicalCollectionModel(Func<T, TRow> row_factory, Func<T, TKey> key, Func<T, TKey> parent_key, TKey no_parent_key, IComparer<TRow> comparer) {
+         _row_factory = row_factory;
+         _tree = new SortedTree<TRow, TKey>(_comparer = comparer, el => key(el.value), el => parent_key(el.value), no_parent_key);
+         _key = key;
+      }
+
+      public IComparer<TRow> comparer {
+         get => _comparer;
+         set {
+            _tree = _tree.Resort(_comparer = value);
+            _cached_filtered = null;
+         }
+      }
+      public Func<TRow, bool> filter {
+         get => _filter;
+         set {
+            _filter = value;
+            _cached_filtered = null;
+            _refresh_hierarchical_props();
+         }
+      }
+      public IEnumerable<TRow> rows {
+         get {
+            return _root_nodes.SelectMany(impl);
+            IEnumerable<TRow> impl(INode<TRow> n) {
+               yield return n.value;
+               if (n.value.is_expanded) {
+                  foreach (var _n in n.inner.SelectMany(impl))
+                     yield return _n;
+               }
+            }
+         }
+      }
+
+      public IEnumerable<TRow> all_rows {
+         get {
+            return _root_nodes.SelectMany(impl);
+            IEnumerable<TRow> impl(INode<TRow> n) {
+               yield return n.value;
+               foreach (var _n in n.inner.SelectMany(impl))
+                  yield return _n;
+            }
+         }
+      }
+
+      public int total_row_count { get; private set; }
+
+      IEnumerable<INode<TRow>> _root_nodes =>
+         _filter == null ? _tree.RootNodes : (_cached_filtered ??= _tree.RootNodes.filtered(_filter));
+
+      public IEnumerable<TRow> GetAllRows(bool excludeFiltered = false) =>
+         excludeFiltered ? all_rows : _tree;
+      // collapse
+      public void collapse_row(TKey key) => _toggle_is_expanded(key, false);
+      public void collapse_all() => _toggle_is_expanded(false);
+      // expand
+      public void expand_row(TKey key) => _toggle_is_expanded(key, true);
+      public void expand_all() => _toggle_is_expanded(true);
+      // lookups
+      public bool try_get_row(TKey key, out TRow row) {
+         if (_tree.TryGetNode(key, out var node)) {
+            row = node.value;
+            return true;
+         }
+         row = default;
+         return false;
+      }
+
+      public TRow get_parent(TKey key) {
+         if (try_get_row(key, out TRow r)) {
+            return _tree.GetParent(r).value;
+         }
+         return default;
+      }
+
+      public IEnumerable<TRow> get_descendent_rows(TKey key) {
+         if (_tree.TryGetNode(key, out var n)) {
+            yield return n.value;
+            foreach (var v in n.inner_values())
+               yield return v;
+         }
+      }
+
+      // update
+      public void update(IEnumerable<T> added, IEnumerable<T> changed, IEnumerable<TKey> removed) {
+         foreach (var k in removed) {
+            if (_tree.Remove(k))
+               total_row_count--;
+         }
+         foreach (var v in changed) {
+            _tree.TryReplace(_key(v), r => { r.on_value_changed(v); return r; });
+         }
+         foreach (var v in added) {
+            if (_tree.Insert(_row_factory(v)))
+               total_row_count++;
+         }
+         _cached_filtered = null;
+         _refresh_hierarchical_props();
+      }
+
+      void _refresh_hierarchical_props() {
+         foreach (var n in _root_nodes)
+            impl(n, 0);
+         void impl(INode<TRow> n, int depth_level) {
+            if (n.value.depth_level != depth_level) {
+               n.value.on_depth_level_changed(depth_level);
+            }
+            using (var en = n.inner.GetEnumerator()) {
+               if (en.MoveNext()) {
+                  if (!n.value.is_parent)
+                     n.value.on_is_parent_changed(true);
+                  depth_level++;
+                  do impl(en.Current, depth_level);
+                  while (en.MoveNext());
+               } else if (n.value.is_parent)
+                  n.value.on_is_parent_changed(false);
+            }
+         }
+      }
+
+      void _toggle_is_expanded(TKey key, bool is_expanded) =>
+         _tree.TryReplace(key, r => {
+            if (r.is_expanded != is_expanded)
+               r.on_is_expanded_changed(is_expanded);
+            return r;
+         });
+
+      void _toggle_is_expanded(bool is_expanded) {
+         foreach (var row in _tree)
+            if (row.is_expanded != is_expanded)
+               row.on_is_expanded_changed(is_expanded);
+      }
+
+      T _value_selector(TRow row) => row.value;
+   }
+}

src/client/spark_core/Collections/ReverseComparer.cs

@@ -1,20 +1,20 @@
-using System;
-using System.Collections.Generic;
-using System.Linq;
-using System.Text;
-using System.Threading.Tasks;
-
-namespace mbts.utils {
-   public class ReverseComparer<T> : IComparer<T> {
-      private readonly IComparer<T> _wrapped;
-
-      public ReverseComparer(IComparer<T> wrapped) {
-         _wrapped = wrapped;
-      }
-
-      public int Compare(T x, T y) {
-         // reverse operands
-         return _wrapped.Compare(y, x);
-      }
-   }
-}
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+
+namespace mbts.utils {
+   public class ReverseComparer<T> : IComparer<T> {
+      private readonly IComparer<T> _wrapped;
+
+      public ReverseComparer(IComparer<T> wrapped) {
+         _wrapped = wrapped;
+      }
+
+      public int Compare(T x, T y) {
+         // reverse operands
+         return _wrapped.Compare(y, x);
+      }
+   }
+}

src/client/spark_core/Reactive/ObservableExtensions.cs

@@ -35,6 +35,7 @@
          this IObservable<T> source, Func<T, TResult> bootstrap_selector, Func<T, TResult> selector) =>
          Observable.Create<TResult>(o => {
             object locker = new();
+            var local_bootstrap_selector = bootstrap_selector;
             return source.Subscribe(v => {
                // The preliminary null-check for `bootstrapper` is performed outside of the lock.
                //
@@ -45,13 +46,13 @@
                //
                // If `bootstrapper is not null`, the use of a lock becomes neccessary to ensure that
                // the observer is only bootstrapped once.
-               if (bootstrap_selector is null) {
+               if (local_bootstrap_selector is null) {
                   o.OnNext(selector(v));
                   return;
                }
                lock (locker) {
-                  o.OnNext((bootstrap_selector ?? selector)(v));
-                  bootstrap_selector = null;
+                  o.OnNext((local_bootstrap_selector ?? selector)(v));
+                  local_bootstrap_selector = null;
                }
             });
          });
@@ -210,6 +211,10 @@
          });
       }
 
+      public static IObservable<TResult> SelectInline<T, TResult>(
+         this IObservable<T> source, Func<T, TResult> selector) =>
+         Observable.Create<TResult>(o => source.Subscribe(v => o.OnNext(selector(v))));
+
       /// <summary>
       /// Uses each element of a source observable to create an inner observable of <typeparamref name="TResult"/>, unlike <see cref="Observable.SelectMany{TSource, TResult}(IObservable{TSource}, Func{TSource, IObservable{TResult}})"/>,
       /// each inner sequence is terminated when the next one begins.

src/client/spark_core/Update/UpdateExtensions.cs

@@ -322,7 +322,7 @@ namespace bts.api.core {
             Log.DataFlow.diag($"Create Filter {typeof(T).Name}");
 
             return source.CombineLatest(predicate, (upd, pred) => (upd, pred)).Subscribe(tup => {
-               bool pred_changed = tup.pred == pred_cache && pred_cache is not null;
+               bool pred_changed = tup.pred != pred_cache && pred_cache is not null;
                pred_cache = tup.pred;
                unfiltered_cache = tup.upd;
                if (pred_changed && filtered_cache is not null) {

src/client/spark_websocket/Core/WebsocketSubscriptionHandler.cs

@@ -13,6 +13,7 @@ namespace bts.websocket_core {
 
    using Newtonsoft.Json.Linq;
 
+   using Spark.Api.Data;
    using Spark.Api.MarketData;
    using Spark.Api.Orders;
    using Spark.Core.Collections;
@@ -252,7 +253,9 @@ namespace bts.websocket_core {
             exchanges,
             types,
             symbols?.getuprarr(),
-            expiration,
+            expiration is null
+               ? Array.Empty<ExpirationDate>()
+               : Array.ConvertAll(expiration, ExpirationDate.FixedDate),
             null,
             null,
             strikes,

src/lib/CMakeLists.txt

@@ -7,6 +7,11 @@ include(${CMAKE_SOURCE_DIR}/cmake/Protobuf.cmake)
 include(${CMAKE_CURRENT_SOURCE_DIR}/cmake/GenerateDefaultConfig.cmake)
 include(${CMAKE_SOURCE_DIR}/cmake/PrintList.cmake)
 
+configure_file(
+  "${CMAKE_SOURCE_DIR}/cmake/version.h.in"
+  "${CMAKE_CURRENT_BINARY_DIR}/version.h"
+)
+
 if (DEFINED DOTNET_BINARY_DIR OR DEFINED DOTNET_WINDOWS_BINARY_DIR)
   include(${CMAKE_CURRENT_SOURCE_DIR}/cmake/AddCopyBinariesTarget.cmake)
 endif()

src/lib/api/service_helpers/AdminServiceUtils.cpp

@@ -770,14 +770,14 @@ bts::api::orderman::RoutingRecord AdminServiceUtils::get_routing_record(
    case api::VENUE_BINANCE_USDS_FUTURES: {
       rv.set_session("binance_usds_futures_1");
       rv.set_account(account_ptr->name());
-      rv.set_account(user_ptr->name());
+      rv.set_operator_id(user_ptr->name());
       out_result.set_is_success(true);
       return rv;
    }
    case api::VENUE_BINANCE: {
       rv.set_session("binance_1");
       rv.set_account(account_ptr->name());
-      rv.set_account(user_ptr->name());
+      rv.set_operator_id(user_ptr->name());
       out_result.set_is_success(true);
       return rv;
    }

src/lib/domain/synthetic_book_side.cpp

@@ -1,13 +1,29 @@
 #include "synthetic_book_side.h"
 #include "lib/domain/book_side_consumer.h"
 
+#include <cmath>
+
 namespace bts::domain {
 
+Price apply_price_mult(Price price, Quantity qty, double price_mult) {
+   if (std::isnan(price_mult) || price_mult == 0) {
+      return price * qty.value();
+   }
+   if ((price_mult < 0) != (qty < 0)) {
+      // Price mult and leg qty should have the same sign. If they don't, "fix"
+      // it (presumably the user made a mistake when they created the spread).
+      return price * -price_mult;
+   } else {
+      return price * price_mult;
+   }
+}
+
 void SyntheticBookSide::copy_(const SyntheticBookSide &other) noexcept {
    if (this == &other) {
       return;
    }
    leg_qty_.value() = other.leg_qty_.value();
+   price_mult_ = other.price_mult_;
    // Copy 'data_'
    if (other.data_ != nullptr) {
       // Clear 'own_data_'
@@ -45,6 +61,7 @@ void SyntheticBookSide::move_(SyntheticBookSide &&other) noexcept {
       delete[] own_data_;
    }
    leg_qty_.value() = other.leg_qty_.value();
+   price_mult_ = other.price_mult_;
    data_ = other.data_;
    size_ = other.size_;
    own_data_ = other.own_data_;
@@ -99,8 +116,10 @@ SyntheticBookSide SyntheticBookSide::add_leg(
       }
       const auto [qty1, cost1] = l1.consume(take1);
       const auto [qty2, cost2] = l2.consume(take2);
-      Price price1 = (cost1 / qty1.value()) * l1_qty.value();
-      Price price2 = (cost2 / qty2.value()) * l2_qty.value();
+      Price price1 = (cost1 / qty1.value());
+      price1 = apply_price_mult(price1, l1_qty, price_mult_);
+      Price price2 = (cost2 / qty2.value());
+      price2 = apply_price_mult(price2, l2_qty, other_leg.price_mult_);
       auto &synth_lvl = synth_bk[i];
       synth_lvl.price = price1 + price2;
       synth_lvl.total_quantity = qty1;

src/lib/domain/synthetic_book_side.h

@@ -5,6 +5,7 @@
 
 #include <cstddef>
 #include <cstring>
+#include <limits>
 
 namespace bts::domain {
 
@@ -15,6 +16,7 @@ class SyntheticBookSide {
    const BookLevel *data_{nullptr};
    BookLevel *own_data_{nullptr};
    std::size_t size_{0};
+   double price_mult_{std::numeric_limits<double>::quiet_NaN()};
 
    void copy_(const SyntheticBookSide &other) noexcept;
    void move_(SyntheticBookSide &&other) noexcept;
@@ -22,7 +24,10 @@ class SyntheticBookSide {
  public:
    constexpr SyntheticBookSide() = default;
    constexpr SyntheticBookSide(
-       Quantity leg_qty, const BookLevel *book_side, std::size_t size);
+       Quantity leg_qty,
+       const BookLevel *book_side,
+       std::size_t size,
+       double price_mult = std::numeric_limits<double>::quiet_NaN());
    constexpr ~SyntheticBookSide();
 
    SyntheticBookSide(const SyntheticBookSide &other);
@@ -57,8 +62,12 @@ class SyntheticBookSide {
 //////////////////////////////////////////////////
 
 constexpr SyntheticBookSide::SyntheticBookSide(
-    Quantity leg_qty, const BookLevel *data, std::size_t size)
-    : leg_qty_(leg_qty), data_(data), own_data_(nullptr), size_(size) {}
+    Quantity leg_qty,
+    const BookLevel *data,
+    std::size_t size,
+    double price_mult)
+    : leg_qty_(leg_qty), data_(data), own_data_(nullptr), size_(size),
+      price_mult_(price_mult) {}
 
 constexpr SyntheticBookSide::~SyntheticBookSide() {
    leg_qty_.value() = 0;

src/lib/domain_model/common.cpp

@@ -0,0 +1,34 @@
+#include "common.h"
+#include "lib/utils/bts_assert.h"
+
+namespace bts {
+
+double CQuantity::round_to_decimal_places(double value, int decimal_places) {
+   if (std::isnan(value) || std::isinf(value)) {
+      return value;
+   }
+   const bool negate = value < 0;
+   if (negate) {
+      value = -value;
+   }
+   // Prevent arithmetic overflow (it could have nasty, unpredictable side effects).
+   bts_assert(
+       value < static_cast<double>(std::numeric_limits<uint32_t>::max()));
+   const uint32_t int_part = static_cast<uint32_t>(value);
+   double frac_part = value - int_part;
+   if (frac_part > (1.0 - err)) {
+      value = int_part + 1;
+   } else if (frac_part < err) {
+      value = int_part;
+   } else {
+      const double factor = pow(10, decimal_places);
+      frac_part = std::round(frac_part * factor) / factor;
+      value = static_cast<double>(int_part) + frac_part;
+   }
+   if (negate) {
+      value = -value;
+   }
+   return value;
+}
+
+} // namespace bts

src/lib/domain_model/common.h

@@ -14,8 +14,8 @@
 namespace bts {
 struct CQuantity {
    double qty = 0;
-   constexpr static double precision_digits = 6;
-   constexpr static double err = 0.0000001;
+   constexpr static int precision_digits = 7;
+   constexpr static double err = 0.000001;
    CQuantity() {}
    CQuantity(uint32_t whole_qty) : qty(whole_qty) {}
    CQuantity(uint32_t int_qty, double fractional_qty)
@@ -26,15 +26,12 @@ struct CQuantity {
       return rv;
    }
 
-   static double round_to_decimal_places(double value, int decimal_places) {
-      double factor = pow(10, decimal_places);
-      return std::round(value * factor) / factor;
-   }
+   static double round_to_decimal_places(double value, int decimal_places);
    uint32_t value() const { return static_cast<uint32_t>(qty); }
    double full_value() const { return qty; }
    float full_value_float() const { return static_cast<float>(full_value()); }
-   uint32_t int_part() { return static_cast<uint32_t>(qty); }
-   double fractional_part() { return full_value() - int_part(); }
+   uint32_t int_part() const { return static_cast<uint32_t>(qty); }
+   double fractional_part() const { return full_value() - int_part(); }
    static bool equal_d(double d1, double d2) {
       return std::abs(d1 - d2) <= err;
    }
@@ -102,7 +99,7 @@ struct CQuantity {
    }
    bool is_zero() const { return *this == create_new(0.0); }
    void make_zero_if_negative() { qty = std::max(0.0, qty); }
-   void round() { qty = round_to_decimal_places(qty, 6); }
+   void round() { qty = round_to_decimal_places(qty, precision_digits); }
 };
 
 inline std::ostream &operator<<(std::ostream &out, CQuantity const &qty) {
@@ -115,5 +112,5 @@ using Quantity = CQuantity;
 using UserLogin = utils::ValueWrapper<struct UserLoginTag, std::string>;
 } // namespace bts
 
-FMT_IMPL(bts::Price, p, "{}", p.value());
-FMT_IMPL(bts::Quantity, q, "{}", q.full_value());
+FMT_IMPL(bts::Price, p, "{:.6f}", p.value());
+FMT_IMPL(bts::Quantity, q, "{:.6f}", q.full_value());

src/lib/md/MDConsumerHandle.cpp

@@ -159,11 +159,13 @@ TimeStamp copy_synthetic_depth(
       // Bid
       domain::BookSide &cbids = depth_cache.at(x);
       DomainSecurityUtils::convert(eff_bid, COCONUT_MAX_DEPTH, cbids);
-      synth_bids = synth_bids.add_leg({rel_qty, cbids.data(), cbids.size()});
+      synth_bids = synth_bids.add_leg(
+          {rel_qty, cbids.data(), cbids.size(), leg.price_multiplier()});
       // Ask
       domain::BookSide &casks = depth_cache.at(x + synth.legs.size());
       DomainSecurityUtils::convert(eff_ask, COCONUT_MAX_DEPTH, casks);
-      synth_asks = synth_asks.add_leg({rel_qty, casks.data(), casks.size()});
+      synth_asks = synth_asks.add_leg(
+          {rel_qty, casks.data(), casks.size(), leg.price_multiplier()});
    }
    DomainSecurityUtils::convert(
        synth_bids.data(), synth_bids.size(), bid, count);

src/lib/md/SecurityMapper.cpp

@@ -5,6 +5,7 @@
 #include "lib/config/config.h"
 #include "lib/config/protos/cme_reference_data.pb.h"
 #include "lib/config/protos/market_data.pb.h"
+#include "lib/domain_model/Security.pb.h"
 #include "lib/utils/parse_enum.h"
 
 #ifndef _WIN32
@@ -61,6 +62,9 @@ struct CppOverride : public ISecurityMapper {
    }
 
    void apply(FixedSecurity &f) const override {
+      if (f.exchange != api::VENUE_GLBX) {
+         return;
+      }
       auto iter = _map.find(f.symbol());
       if (iter != _map.end()) {
          f.cash_per_point = iter->second;

src/lib/orderman/OrderRouter.cpp

@@ -29,12 +29,12 @@ OrderRouter::RouteQueryResult OrderRouter::get_routing_record(
        bts::admin::AdminServiceUtils::get_routing_record(
            me->data, account_id.value() == 0 ? 1 : account_id.value(),
            user_id.value() == 0 ? 1 : user_id.value(), sec, result);
-   LOG(OrderMan, Info, "OrderRouter::get_routing_record rr: {} result: {}, {}",
-       utils::pb::to_string(rr), result.is_success(), result.error_text());
-   if (result.is_success())
+   if (result.is_success()) {
       return RouteQueryResult{true, std::string(""), rr};
-   else
-      return RouteQueryResult{false, result.error_text(), rr};
+   }
+   LOG(OrderMan, Error, "OrderRouter::get_routing_record rr: {} result: {}, {}",
+       utils::pb::to_string(rr), result.is_success(), result.error_text());
+   return RouteQueryResult{false, result.error_text(), rr};
 }
 
 OrderRouter::ReverseRoutingQueryResult OrderRouter::get_reverse_routing_record(

src/lib/orderman/OrderServiceServer.cpp

@@ -31,6 +31,7 @@
 #include "lib/orderman/events/ExchangePositionEvent.h"
 #include "lib/orderman/events/OrderOpResultEvent.h"
 #include "lib/orderman/gateways/i_execution_gateway_provider.h"
+#include "lib/orderman/order_desc.h"
 #include "lib/orderman/order_factory/DynamicOrderRegistry.h"
 #include "lib/orderman/orderman_utils/ExchangeOpenOrders.h"
 #include "lib/orderman/orders/Order.h"
@@ -404,7 +405,8 @@ OrderServiceServer::~OrderServiceServer() {
 
 void OrderServiceServer::on_orders(
     std::vector<api::orderman::OrderRecord> const &orders) {
-   LOG(OrderMan, Info, "Received order update for publishing");
+   LOG(OrderMan, Info, "OrderServiceServer::on_orders. count: {}",
+       orders.size());
    std::vector<api::orderman::OrderRecord> created;
    created.reserve(orders.size());
    std::vector<api::orderman::OrderRecord> updated;
@@ -420,18 +422,12 @@ void OrderServiceServer::on_orders(
       } else
          updated.push_back(rec);
    }
-
-   LOG(OrderMan, Info,
-       "OrderServiceServer::on_orders publishing orders to the service API. "
-       "created {}, updated {}",
-       created.size(), updated.size());
-
    me->publish_orders(&created, &updated, nullptr);
 }
 
 void OrderServiceServer::on_fills(
     std::vector<api::orderman::Fill> const &fills) {
-   LOG(OrderMan, Info, "Received fill update for publishing");
+   LOG(OrderMan, Info, "OrderServiceServer::on_fills. count: {}", fills.size());
    std::vector<api::orderman::Fill> created;
    created.reserve(fills.size());
    std::vector<api::orderman::Fill> updated;
@@ -445,19 +441,16 @@ void OrderServiceServer::on_fills(
       } else
          updated.push_back(f);
    }
-   LOG(OrderMan, Info, "OrderServiceServer::on_fills created: {} updated: {}",
-       created.size(), updated.size());
    me->publish_fills(&created, &updated, nullptr);
 }
 
 void OrderServiceServer::create_order(
     const api::orderman::Create &c,
     const api::Response<api::orderman::Response> &r) {
-   LOG(OrderMan, Info,
-       "OrderServiceServer::create_order create: {} pr: {} qty: {}  frc_qty: "
-       "{}",
-       utils::pb::to_string(c), c.price(), c.quantity(),
-       c.has_fractional_quantity() ? c.fractional_quantity().fraction() : 0.0);
+   LOG(OrderMan, Info, "OrderServiceServer::create_order. {}",
+       OrderDesc::from_create(c));
+   LOG(OrderMan, Diag, "OrderServiceServer::create_order.\n{}",
+       utils::pb::to_string(c));
    if (!me->service_ready) {
       api::orderman::Response response;
       response.set_error_code(api::orderman::ORDER_ERROR_SERVER_NOT_READY);
@@ -486,6 +479,8 @@ void OrderServiceServer::update_order(
     const api::orderman::Update &update,
     const api::Response<api::orderman::Response> &r) {
    LOG(OrderMan, Info, "OrderServiceServer::update_order update: {}",
+       OrderDesc::from_update(update));
+   LOG(OrderMan, Diag, "OrderServiceServer::update_order update:\n{}",
        utils::pb::to_string(update));
    if (!me->service_ready) {
       api::orderman::Response response;

src/lib/orderman/actors/FillStore.cpp

@@ -2,7 +2,10 @@
 #include "lib/api/services/OrderService.pb.h"
 #include "lib/config/config.h"
 #include "lib/config/protos/toggles.pb.h"
+#include "lib/core/TimeStamp.h"
 #include "lib/domain_model/Security.h"
+#include "lib/domain_model/Security.pb.h"
+#include "lib/domain_model/SecurityKey.h"
 #include "lib/logging/logging.h"
 #include "lib/mercury/events/Update.h"
 #include "lib/orderman/actors/SODPosition.h"
@@ -14,10 +17,13 @@
 #include "lib/os/os.h"
 #include "lib/persistence/SqliteStore.h"
 #include "lib/utils/PBUtils.h"
+#include "lib/utils/TimeStamp.h"
 #include "lib/utils/bts_assert.h"
+#include "lib/utils/bts_chrono.h"
 #include "lib/utils/overloaded.h"
 
 #include <boost/date_time/posix_time/posix_time.hpp>
+#include <google/protobuf/timestamp.pb.h>
 #include <string>
 #include <sys/time.h>
 
@@ -32,6 +38,67 @@ namespace orderman {
 
 auto const fills_ns = "fills";
 
+struct FillAggregator {
+   struct SecPosition {
+    private:
+      Fill agg_fill;
+
+    public:
+      double agg_price = 0, agg_qty = 0;
+      SecPosition(const Fill &fill) : agg_fill(fill) {
+         const auto &fill_key = fill.fill_key();
+         std::string new_fill_key = "aggpos_" + fill_key;
+         agg_fill.set_fill_key(new_fill_key);
+         auto now_ns = bts::core::TimeStamp::now_ns();
+         agg_fill.mutable_timestamp()->set_nanos(now_ns);
+         add_fill(fill);
+      }
+      void add_fill(const Fill &fill) {
+         bts_assert(fill.security_key() == agg_fill.security_key());
+         double mult = fill.side() == api::SIDE_BUY ? 1.0 : -1.0;
+         double fp = fill.avg_price();
+         double fq = mult * fill.last_shares();
+         double new_agg_price =
+             ((agg_price * agg_qty) + (fp * fq)) / (agg_qty + fq);
+         double new_agg_qty = agg_qty + fq;
+         agg_price = new_agg_price;
+         agg_qty = new_agg_qty;
+      }
+
+    public:
+      Fill fill() const {
+         Fill rv = agg_fill;
+         rv.set_avg_price(agg_price);
+         rv.set_last_shares(std::abs(agg_qty));
+         rv.set_side(::bts::api::Side::SIDE_BUY);
+         if (agg_qty < 0) {
+            rv.set_side(::bts::api::Side::SIDE_SELL);
+         }
+         return rv;
+      }
+   };
+   std::map<SecurityKey, SecPosition> pos_map = {};
+
+   void add_fill(const Fill &fill) {
+      SecurityKey k = SecurityKey(fill.security_key());
+      auto it = pos_map.find(k);
+      if (it != pos_map.end()) {
+         SecPosition &sec_pos = it->second;
+         sec_pos.add_fill(fill);
+      } else {
+         pos_map.insert({k, {fill}});
+      }
+   }
+
+   std::vector<Fill> get_aggregated_fills() const {
+      std::vector<Fill> rv = {};
+      for (const auto &kv : pos_map) {
+         rv.push_back(kv.second.fill());
+      }
+      return rv;
+   }
+};
+
 struct FillStore::UnresolvedFills {
    std::vector<api::orderman::Fill> fills;
    api::Security const *security;
@@ -48,6 +115,8 @@ struct FillStore::PImpl {
    std::unordered_map<OrderKey, UnresolvedFills> fills_with_unresolved_accounts;
    mercury::Stream<StoredFillEvent> fill_stream;
    md::SecurityOracle oracle;
+   FillAggregator fill_aggregator = {};
+   bool aggregate_pos = false;
 };
 
 FillStore::FillStore(md::SecurityOracle o) : me(new PImpl(o)) {
@@ -100,40 +169,83 @@ void FillStore::init() {
        os::get_thread_id(), os::get_thread_name());
    LOG(OrderMan, Info, "FillStore::init oracle n_secs: {}",
        me->oracle.get_securities().size());
-   // Subscribe to NewExecutionReportEvent for new fills
-   subscribe<NewExecutionReportEvent>(
-       [this](auto const &ev) { this->on_execution_report(ev); });
-
    // Load stored fills, resolve their securities and publish the lot
-   api::orderman::Fill fill;
    std::vector<StoredFillEvent> stored_batch;
    LOG(persist, Info, "Loading load all fills");
    auto all = me->store->retrieve_all()[fills_ns];
    LOG(persist, Info, "Finished loading all {} fills", all.size());
-   SODPosition sod_helper;
-   for (auto const &kvp : all)
-      if (utils::pb::from_string<api::orderman::Fill>(kvp.second, &fill)) {
-         if (sod_helper.is_sod(fill.timestamp())) {
-            auto fill_kind = sod_fill_kind(fill);
-            fill.set_fill_kind(fill_kind);
+   auto aggregate_clean_and_publish = [&]() {
+      api::orderman::Fill fill;
+      for (auto const &kvp : all) {
+         if (utils::pb::from_string<api::orderman::Fill>(kvp.second, &fill)) {
+            me->fill_aggregator.add_fill(fill);
+         } else {
+            LOG(persist, Error,
+                "Could not recover fill {} from storage. "
+                "This should be investigated",
+                kvp.first);
          }
-         auto sec = me->oracle.get_security(SecurityKey(fill.security_key()));
+      }
+      // 1. go through all fills in aggregator and make StoredFillEvent
+      auto aggregated_fills = me->fill_aggregator.get_aggregated_fills();
+      for (auto &f : aggregated_fills) {
+         auto sec = me->oracle.get_security(SecurityKey(f.security_key()));
          if (sec) {
-            auto fk = kvp.first;
-            me->known_fills.insert(fk);
-            if (!config::get<config::toggles::FilterExpiredFills>().enabled() ||
-                !securities::is_expired(*sec)) {
-               stored_batch.emplace_back(fill, *sec);
+            stored_batch.emplace_back(f, *sec);
+         } else {
+            LOG(persist, Error,
+                "Stored fill {} contains unresolved security {}. ",
+                utils::pb::to_string(f), fill.security_key());
+         }
+      }
+      // 2 delete all fills in the DB
+      me->store->remove_all(fills_ns);
+      // 3. add the aggregated fills back
+      for (const auto &e : stored_batch) {
+         const Fill &f = e.fill;
+         me->store->insert(fills_ns, f.fill_key(), utils::pb::to_string(f));
+      }
+   };
+   auto publish_with_sod_marking = [&]() {
+      api::orderman::Fill fill;
+      SODPosition sod_helper;
+      for (auto const &kvp : all) {
+         if (utils::pb::from_string<api::orderman::Fill>(kvp.second, &fill)) {
+            if (sod_helper.is_sod(fill.timestamp())) {
+               auto fill_kind = sod_fill_kind(fill);
+               fill.set_fill_kind(fill_kind);
             }
+            auto sec =
+                me->oracle.get_security(SecurityKey(fill.security_key()));
+            if (sec) {
+               auto fk = kvp.first;
+               me->known_fills.insert(fk);
+               if (!config::get<config::toggles::FilterExpiredFills>()
+                        .enabled() ||
+                   !securities::is_expired(*sec)) {
+                  stored_batch.emplace_back(fill, *sec);
+               }
+            } else
+               LOG(persist, Error,
+                   "Stored fill {} contains unresolved security {}. ",
+                   kvp.first, fill.security_key());
          } else
             LOG(persist, Error,
-                "Stored fill {} contains unresolved security {}. ", kvp.first,
-                fill.security_key());
-      } else
-         LOG(persist, Error,
-             "Could not recover fill {} from storage. "
-             "This should be investigated",
-             kvp.first);
+                "Could not recover fill {} from storage. "
+                "This should be investigated",
+                kvp.first);
+      }
+   };
+
+   // Subscribe to NewExecutionReportEvent for new fills
+   subscribe<NewExecutionReportEvent>(
+       [this](auto const &ev) { this->on_execution_report(ev); });
+   if (me->aggregate_pos) {
+      aggregate_clean_and_publish();
+   } else {
+      publish_with_sod_marking();
+   }
+
    me->fill_stream = make_stream<StoredFillEvent>();
    LOG(OrderMan, Info,
        "Fill Store published {} fills recoved from disk out of {} "

src/lib/orderman/actors/OrderStore.cpp

@@ -5,6 +5,7 @@
 #include "lib/config/protos/orders_fills_cleanup.pb.h"
 #include "lib/config/protos/toggles.pb.h"
 #include "lib/logging/logging.h"
+#include "lib/md/ExchangeSecurityKey.h"
 #include "lib/orderman/actors/SODPosition.h"
 #include "lib/orderman/events/OrderDefinitionUpdateEvent.h"
 #include "lib/orderman/events/OrderStateUpdateEvent.h"
@@ -12,6 +13,7 @@
 #include "lib/persistence/SqliteStore.h"
 #include "lib/utils/PBUtils.h"
 
+#include <google/protobuf/timestamp.pb.h>
 #include <unordered_set>
 
 namespace bts {
@@ -38,6 +40,7 @@ struct OrderStore::PImpl {
    bool soft_cleanup_enabled;
    md::SecurityOracle oracle;
    timeval cutoff_time;
+   bool clear_all_orders = true;
 };
 
 OrderStore::OrderStore(md::SecurityOracle o) : me(new PImpl(o)) {}
@@ -63,34 +66,46 @@ void OrderStore::init() {
 
    me->cutoff_time = SODPosition::get_order_cutoff_time(all);
 
-   for (auto const &kvp : all)
-      if (utils::pb::from_string<api::orderman::OrderRecord>(
-              kvp.second, &rec)) {
-         auto ok = OrderKey(std::stoi(kvp.first));
-         auto sk = SecurityKey(rec.def().security_key());
-         auto sec = me->oracle.get_security(sk);
+   auto load_orders = [&]() {
+      for (auto const &kvp : all) {
+         if (utils::pb::from_string<api::orderman::OrderRecord>(
+                 kvp.second, &rec)) {
+            auto ok = OrderKey(std::stoi(kvp.first));
+            auto sk = SecurityKey(rec.def().security_key());
+            auto sec = me->oracle.get_security(sk);
 
-         if (config::get<config::toggles::FilterOrdersWithDanglingSecurities>()
-                 .enabled() &&
-             sec == nullptr) {
-            LOG(OrderMan, Diag, "Order {} refers to unresolved security {}",
-                ok.value(), sk.value());
-         } else {
-            if (!_order_cutoff(rec))
-               stored_batch.emplace_back(rec);
-            me->known_orders[ok] = PImpl::ORInfo{rec, true};
-         }
-      } else
-         LOG(OrderMan, Error,
-             "Could not recover order {} from storage. "
-             "This should be investigated",
-             kvp.first);
+            if (config::get<
+                    config::toggles::FilterOrdersWithDanglingSecurities>()
+                    .enabled() &&
+                sec == nullptr) {
+               LOG(OrderMan, Diag, "Order {} refers to unresolved security {}",
+                   ok.value(), sk.value());
+            } else {
+               if (!_order_cutoff(rec))
+                  stored_batch.emplace_back(rec);
+               me->known_orders[ok] = PImpl::ORInfo{rec, true};
+            }
+         } else
+            LOG(OrderMan, Error,
+                "Could not recover order {} from storage. "
+                "This should be investigated",
+                kvp.first);
+      }
+   };
 
    me->order_stream = make_stream<StoredOrderEvent>();
    LOG(OrderMan, Info,
        "Order Store published {} orders recoved from disk out of {} "
        "total orders",
        stored_batch.size(), all.size());
+
+   if (me->clear_all_orders) {
+      // clear orders
+      me->store->remove_all(orders_ns);
+   } else {
+      load_orders();
+   }
+
    publish_batch(me->order_stream, stored_batch);
 }
 
@@ -114,18 +129,23 @@ void OrderStore::on_order_state_update(
          rec.set_key(ev.key.value());
          rec.set_parent_key(ev.parent_key.value());
          modified_orders.insert(ev.key);
+         const auto now = utils::pb::pb_now();
          if (rec.has_state()) {
+            google::protobuf::Timestamp created;
+            if (rec.state().has_created()) {
+               created = rec.state().created();
+            }
             rec.mutable_state()->CopyFrom(ev.rebuild_state());
-            *rec.mutable_state()->mutable_created() = utils::pb::pb_now();
-            *rec.mutable_state()->mutable_last_change() = rec.state().created();
+            *rec.mutable_state()->mutable_created() =
+                created.seconds() > 0 || created.nanos() > 0 ? created : now;
             // if filled qty went from 0.99 -> 1, it was copying the int part and not clearing the fraction part,
             // so changing MergeFrom to CopyFrom
          } else {
             *rec.mutable_state() = ev.rebuild_state();
-            *rec.mutable_state()->mutable_created() = utils::pb::pb_now();
+            *rec.mutable_state()->mutable_created() = now;
          }
-         *rec.mutable_state()->mutable_last_change() = utils::pb::pb_now();
-         LOG(OrderMan, Info, "OrderStore::on_order_state_update k: {} rec: {}",
+         *rec.mutable_state()->mutable_last_change() = now;
+         LOG(OrderMan, Diag, "OrderStore::on_order_state_update k: {} rec: {}",
              ev.key, utils::pb::to_string(rec));
       }
    store_and_publish_if_complete(modified_orders);
@@ -155,20 +175,17 @@ void OrderStore::store_and_publish_if_complete(
       auto &rec_info = me->known_orders[k];
       auto &rec = rec_info.rec;
       if (rec.has_def() && rec.has_state()) {
+         const std::string rec_str = utils::pb::to_string(rec);
+         const std::string key_str = std::to_string(k.value());
          LOG(OrderMan, Diag,
-             "OrderStore::store_and_publish_if_complete rec: {}",
-             utils::pb::to_string(rec));
+             "OrderStore::store_and_publish_if_complete rec: {}", rec_str);
          publish(me->order_stream, rec);
          if (rec_info.is_saved) {
-            me->store->update(
-                orders_ns, std::to_string(k.value()),
-                utils::pb::to_string(rec));
+            me->store->update(orders_ns, key_str, rec_str);
             LOG(OrderMan, Info,
                 "OrderStore::store_and_publish_if_complete updated key: {}", k);
          } else {
-            me->store->insert(
-                orders_ns, std::to_string(k.value()),
-                utils::pb::to_string(rec));
+            me->store->insert(orders_ns, key_str, rec_str);
             rec_info.is_saved = true;
             LOG(OrderMan, Info,
                 "OrderStore::store_and_publish_if_complete added key: {}", k);

src/lib/orderman/actors/ServiceBridge.cpp

@@ -39,6 +39,7 @@ namespace orderman {
 
 #define _LOG_FN(level, fn, ...)                                                \
    LOG(OrderMan, level, "ServiceBridge::" fn ". " __VA_ARGS__)
+#define DIAG_FN(fn, ...) _LOG_FN(Diag, fn, __VA_ARGS__)
 #define INFO_FN(fn, ...) _LOG_FN(Info, fn, __VA_ARGS__)
 #define WARN_FN(fn, ...) _LOG_FN(Warn, fn, __VA_ARGS__)
 #define ERROR_FN(fn, ...) _LOG_FN(Error, fn, __VA_ARGS__)
@@ -196,7 +197,7 @@ void ServiceBridge::on(mercury::Update<StoredOrderEvent> const &update) {
       WARN_FN("on StoredOrderEvent", "no event data");
       return;
    }
-   INFO_FN("on StoredOrderEvent", "n_events: {}", update.events->size());
+   DIAG_FN("on StoredOrderEvent", "n_events: {}", update.events->size());
    bool was_ready = is_ready();
    me->have_orders = true;
 
@@ -449,11 +450,11 @@ bool ServiceBridge::is_ready() const {
 }
 
 void ServiceBridge::maybe_signal_ready(bool old_ready) {
-   INFO_FN(
-       "maybe_signal_ready", "old_ready: {}; is_ready: {}", old_ready,
-       is_ready());
-   if (!old_ready && is_ready())
-      me->on_ready();
+   if (old_ready || !is_ready()) {
+      return;
+   }
+   INFO_FN("maybe_signal_ready", "Ready");
+   me->on_ready();
 }
 } // namespace orderman
 } // namespace bts

src/lib/orderman/gateways/OkxExecutionGateway.cpp

@@ -148,7 +148,7 @@ struct OkxExecutionGateway::PImpl {
           std::min(account_name.size(), account_array.size()),
           account_array.begin());
       report.account_name = AccountName(account_array);
-
+      report.leg_security = nullptr;
       to_array(ops_id, &report.operator_id.value());
 
       report.order_key =
@@ -279,8 +279,20 @@ struct OkxExecutionGateway::PImpl {
       }
 
       const auto &data = msg.at("data");
+      
+
 
       for (const nlohmann::basic_json<> &order : data) {
+        int orderkey = 0;
+        try {
+            int temp = std::stoi(order.at("clOrdId").get<std::string>());
+            orderkey = temp;
+        }catch (...) {
+        }
+        if(orderkey ==0){
+            LOG(OrderMan, Error, "okxlistener::on_message GOT ER FOR ORDER NOT ENTERED FROM SYSTEM. {}", msg_str);
+            continue;
+        }
         _push_execution_report(order);
       }
    }
@@ -459,7 +471,7 @@ void OkxExecutionGateway::modify_order(
       const std::string body = fmt::format(
           body_template, msg.create_fields.security->okx().security_desc(),
           msg.create_fields.key, msg.create_fields.price,
-          msg.create_fields.quantity.full_value());
+          std::to_string(msg.create_fields.quantity.full_value()));
       auto headers = OkxUtils::createHeaders(
           me_->api_key, me_->passphrase, me_->secret_key, "POST", REQUEST_PATH,
           me_->simulated_trading,body);
@@ -543,32 +555,31 @@ void OkxExecutionGateway::launch_new_order(const CreateOrderMsg &msg) {
           headers, &res);
       const auto &[suc, top_msg] = OkxUtils::orderAccepted(res.body);
 
-      OkxUtils::populateCreateOrderFields(er, msg);
-      er.price = msg.price;
-      er.quantity = msg.quantity;
-      er.filled_quantity = 0;
-      er.last_shares = 0;
-      er.avg_price = Price(0);
-      ExchangeTimeStamp64 now = ExchangeTimeStamp64(datetime::unix_nano_now());
-      er.transact_time = now;
-
-      er.order_key = msg.key;
-      const auto &[id, ts, ex_msg] = OkxUtils::extractOrderInfo(res.body);
-      er.exchange_order_id = ExchangeOrderID{OkxUtils::stringToFixedArray(id)};
-
       if (suc) {
-         LOG(md, Info, "Http get succeeded {}", res.body);
-         er.exec_type = api::orderman::ExecType::EXEC_TYPE_PENDING_NEW;
-         er.order_status = api::orderman::NATIVE_ORDER_STATUS_PENDING_NEW;
-      } else {
-         LOG(md, Info, "Http get failed code: {}, errors: {}, body: {}", res.code, res.errors, res.body);
-         er.exec_type = api::orderman::ExecType::EXEC_TYPE_REJECTED;
-         er.order_status = api::orderman::NATIVE_ORDER_STATUS_REJECTED;
-         er.msg = ex_msg + " " + top_msg;
-    }
-    me_->buffered_exec_reps.push(
-        std::make_shared<ExecutionReport>(std::move(er)));
+        LOG(md, Info, "Http get succeeded {}", res.body);
+       //  er.exec_type = api::orderman::ExecType::EXEC_TYPE_PENDING_NEW;
+       //  er.order_status = api::orderman::NATIVE_ORDER_STATUS_PENDING_NEW;
+     } else {
+        LOG(md, Info, "Http get failed code: {}, errors: {}, body: {}", res.code, res.errors, res.body);
+        OkxUtils::populateCreateOrderFields(er, msg);
+       er.price = msg.price;
+       er.quantity = msg.quantity;
+       er.filled_quantity = 0;
+       er.last_shares = 0;
+       er.leg_security = nullptr;
+       er.avg_price = Price(0);
+       ExchangeTimeStamp64 now = ExchangeTimeStamp64(datetime::unix_nano_now());
+       er.transact_time = now;
+       er.order_key = msg.key;
+       const auto &[id, ts, ex_msg] = OkxUtils::extractOrderInfo(res.body);
+       er.exchange_order_id = ExchangeOrderID{OkxUtils::stringToFixedArray(id)};
+       er.exec_type = api::orderman::ExecType::EXEC_TYPE_REJECTED;
+       er.order_status = api::orderman::NATIVE_ORDER_STATUS_REJECTED;
+       er.msg = ex_msg + " " + top_msg;
+       me_->buffered_exec_reps.push(
+           std::make_shared<ExecutionReport>(std::move(er)));
    }
+  }
    // Shut down all reactors if they exist.
    catch (const std::exception &ex) {
       const std::string err = ex.what();

src/lib/orderman/order_desc.cpp

@@ -0,0 +1,30 @@
+#include "order_desc.h"
+#include "lib/api/services/OrderService.pb.h"
+
+namespace bts::orderman {
+
+OrderDesc OrderDesc::from_create(const api::orderman::Create &c) {
+   OrderDesc rv;
+   if (!c.has_new_order()) {
+      return rv;
+   }
+   rv.price = c.price();
+   rv.quantity = c.quantity();
+   if (c.has_fractional_quantity()) {
+      rv.quantity += c.fractional_quantity().fraction();
+   }
+   rv.type = c.new_order().side() == api::SIDE_SELL ? Type::SELL : Type::BUY;
+   return rv;
+}
+
+OrderDesc OrderDesc::from_update(const api::orderman::Update &u) {
+   OrderDesc rv;
+   rv.price = u.price();
+   rv.quantity = u.quantity();
+   if (u.has_fractional_quantity()) {
+      rv.quantity += u.fractional_quantity().fraction();
+   }
+   return rv;
+}
+
+} // namespace bts::orderman

src/lib/orderman/order_desc.h

@@ -0,0 +1,62 @@
+#pragma once
+
+#include <fmt/format.h>
+
+namespace bts::api::orderman {
+class Create;
+class Update;
+} // namespace bts::api::orderman
+
+namespace bts::orderman {
+
+struct OrderDesc {
+   enum Type {
+      NONE = 0,
+      BUY = 1,
+      SELL = 1 << 1,
+      MODIFY = 1 << 2,
+      MODIFY_BUY = BUY | MODIFY,
+      MODIFY_SELL = SELL | MODIFY,
+   };
+
+   constexpr OrderDesc() = default;
+
+   OrderDesc(double price, double quantity, Type type)
+       : price(price), quantity(quantity), type(type) {}
+
+   double price = std::numeric_limits<double>::quiet_NaN();
+   double quantity = 0;
+   Type type = Type::NONE;
+
+   static OrderDesc from_create(const api::orderman::Create &c);
+   static OrderDesc from_update(const api::orderman::Update &u);
+};
+
+} // namespace bts::orderman
+
+template <>
+struct fmt::formatter<bts::orderman::OrderDesc> {
+   constexpr auto parse(fmt::format_parse_context &ctx) -> decltype(ctx.end()) {
+      return ctx.end();
+   }
+
+   template <typename FormatContext>
+   auto format(const bts::orderman::OrderDesc &o, FormatContext &ctx) const
+       -> decltype(ctx.out()) {
+      switch (o.type) {
+      case bts::orderman::OrderDesc::BUY:
+      case bts::orderman::OrderDesc::MODIFY_BUY:
+         return fmt::format_to(
+             ctx.out(), "Buy {:.6f} @ {:.6f}", o.quantity, o.price);
+         break;
+      case bts::orderman::OrderDesc::SELL:
+      case bts::orderman::OrderDesc::MODIFY_SELL:
+         return fmt::format_to(
+             ctx.out(), "Sell {:.6f} @ {:.6f}", o.quantity, o.price);
+         break;
+      default:
+         return fmt::format_to(
+             ctx.out(), "{:.6f} @ {:.6f}", o.quantity, o.price);
+      }
+   }
+};

src/lib/orderman/orders/EMNativeOrder.cpp

@@ -84,7 +84,7 @@ struct EMNativeOrder::PImpl {
 };
 
 EMNativeOrder::EMNativeOrder(const api::Venue exchange) : me(new PImpl(exchange)) {
-   LOG(OrderMan, Info,
+   LOG(OrderMan, Diag,
        "EMNativeOrder::EMNativeOrder instance_id: {} t_id: {} t_name: {}",
        me->instance_id, os::get_thread_id(), os::get_application_name());
 }
@@ -160,8 +160,8 @@ void EMNativeOrder::on_init_new(
    auto &native_state = get_native_state(me->state);
    me->routing_record = rq.routing_record;
    *native_state.mutable_routing_record() = rq.routing_record;
-   LOG(OrderMan, Info, "EMNativeOrder::on_init_new key: {} routing_record: {}",
-       key(), utils::pb::to_string(me->routing_record));
+   LOG(OrderMan, Info, "EMNativeOrder::on_init_new. key: {} {} via {}", key(),
+       me->routing_record.account(), me->routing_record.session());
 }
 
 // We dont recover order. So if it is non terminal, we mark it as error

src/lib/orderman/orders/algo/algo_orders/IcebergAlgo.cpp

@@ -1,4 +1,6 @@
 #include "lib/orderman/orders/algo/algo_orders/IcebergAlgo.h"
+#include "lib/domain_model/common.h"
+#include "lib/orderman/order_desc.h"
 #include "lib/orderman/orders/algo/IAlgoServices.h"
 
 #include "lib/domain_model/Security.h"
@@ -95,7 +97,7 @@ void IcebergAlgo::do_update(api::orderman::Update const &update) {
                                ? update.fractional_quantity().fraction()
                                : 0;
    const Quantity new_qty{update.quantity(), frac_qty};
-   if (new_qty < algo().total_fills()) {
+   if (new_qty <= algo().total_fills()) {
       algo().complete();
       return;
    }
@@ -136,10 +138,20 @@ void IcebergAlgo::do_update(api::orderman::Update const &update) {
 
 void IcebergAlgo::on_child_change(OrderKey k, ChildState const &st) {
    if (k == me->child_key) {
-      algo().update_fill_state(
-          algo().total_fills() + st.last_fills, st.last_price);
+      Quantity last_fills = st.last_fills;
+      last_fills.round();
+      Quantity total_fills = algo().total_fills();
+      total_fills.round();
+      total_fills += last_fills;
+      total_fills.round();
+      Quantity qty = algo().quantity();
+      qty.round();
+      LOG(OrderMan, Info,
+          "IcebergAlgo::on_child_change. {} {} cumm_filled={}/{}", k, st,
+          total_fills, qty);
+      algo().update_fill_state(total_fills, st.last_price);
 
-      if (algo().total_fills() >= algo().quantity()) {
+      if (total_fills >= qty) {
          algo().complete();
          return;
       }
@@ -193,6 +205,7 @@ void orderman::IcebergAlgo::init_child_template(
 Quantity IcebergAlgo::remaining_quantity() const {
    bts_assert(algo().quantity() > algo().total_fills());
    auto remaining = algo().quantity() - algo().total_fills();
+   remaining.round();
    return std::min(remaining, me->show_quantity);
 }
 

src/lib/orderman/orders/spreader_orders/SpreaderOrder.cpp

@@ -332,13 +332,12 @@ void SpreaderOrder::_on_activate(
     Price price, Quantity quantity, SpreaderOrderServices &order_services) {
    bts_assert(_inited());
    bts_assert(!_activated());
-   LOG(OrderMan, Info, "SpreaderOrder::_on_activate price: {} quantity: {}",
-       price, quantity);
    // quantity has already been fractional_normalized
    // quantity =
    //     _bookkeeping_data().fqty_helper().in_transform_spreader_qty(quantity);
-   LOG(OrderMan, Info, "SpreaderOrder.on_activate key:{} price:{} quantity:{}",
-       key().value(), price.value(), quantity.value());
+   LOG(OrderMan, Info,
+       "SpreaderOrder.on_activate key: {} price: {} quantity: {}", key(), price,
+       quantity);
    _order_services = new SpreaderOrderServices(order_services);
    _state_worker->on_activate(price, quantity, *_order_services);
 }

src/lib/orderman/orders/spreader_orders/spreader/SpreaderUtils.cpp

@@ -134,15 +134,14 @@ bool SpreaderUtils::resolve_synthetic_spread(
                          bts::api::orderman::TimeInForce::TIME_IN_FORCE_IOC);
                   else
                      quoter_order_def.set_time_in_force(
-                         bts::api::orderman::TimeInForce::TIME_IN_FORCE_DAY);
+                         order_def.time_in_force());
                   // hedger order def
                   api::orderman::OrderDefinition hedger_order_def =
                       quoter_order_def;
                   hedger_order_def.mutable_custom_def()
                       ->mutable_limit()
                       ->MergeFrom(api::orderman::LimitOrderDefinition());
-                  hedger_order_def.set_time_in_force(
-                      bts::api::orderman::TimeInForce::TIME_IN_FORCE_DAY);
+                  quoter_order_def.set_time_in_force(order_def.time_in_force());
                   hedger_order_def.set_sub_type(
                       bts::api::orderman::OrderSubType::
                           ORDER_SUB_TYPE_HEDGING_LEG);

src/lib/orderman/orders/spreader_orders/spreader_states/SpreaderStartStateWorker.cpp

@@ -1,4 +1,5 @@
 #include "SpreaderStartStateWorker.h"
+#include "lib/domain_model/common.h"
 #include "lib/logging/logging.h"
 #include "lib/orderman/OrderBuilder.h"
 #include "lib/orderman/orders/PreActivationOrderServices.h"
@@ -14,6 +15,13 @@ SpreaderStartStateWorker::SpreaderStartStateWorker(SpreaderOrder *spreader)
 SpreaderState SpreaderStartStateWorker::state() const {
    return SpreaderState::START;
 }
+bool is_qty_invalid(const Quantity &qty) {
+   // if the qty is 0, or the fractional part is not 0, its invalid
+   bool invalid =
+       qty.is_zero() || Quantity::greater_d(qty.fractional_part(), 0.0);
+   return invalid;
+}
+
 void SpreaderStartStateWorker::on_transition() {}
 void SpreaderStartStateWorker::on_init_new(
     const api::orderman::OrderDefinition &order_def,
@@ -80,6 +88,17 @@ void SpreaderStartStateWorker::on_activate(
     Price price, Quantity quantity, SpreaderOrderServices &order_services) {
    // 1. update price, qty
    _spreader->_set_price_quantity(price, quantity);
+   // 1.5 check for order qty
+   if (is_qty_invalid(quantity)) {
+      _spreader->_cancelled = true;
+      std::string msg = "Invalid qty";
+      LOG(OrderMan, Error,
+          "SpreaderStartStateWorker::on_activate invalid qty: {}, going to end "
+          "state",
+          quantity);
+      _spreader->_transform_to_END(&msg);
+      return;
+   }
    // 2. activate order builders
    for (size_t l_idx = 0; l_idx < _spreader->_bookkeeping_data().n_legs();
         l_idx++) {

src/lib/os/os.cpp

@@ -638,7 +638,7 @@ int num_cores() {
 #endif
 }
 
-std::string expand_env(std::string name, bool assert_vars_exist = true) {
+std::string expand_env(std::string name, bool assert_vars_exist) {
    static const std::regex env_re{R"--(\$\{([^}]+)\})--"};
    std::smatch match;
    while (std::regex_search(name, match, env_re)) {
@@ -656,6 +656,26 @@ std::string expand_env(std::string name, bool assert_vars_exist = true) {
    return name;
 }
 
+bool expand_env_in_place(std::string &name, bool assert_vars_exist) {
+   static const std::regex env_re{R"--(\$\{([^}]+)\})--"};
+   std::smatch match;
+   bool changed = false;
+   while (std::regex_search(name, match, env_re)) {
+      const auto from = match[0];
+      const auto var_name = match[1].str();
+      const auto var = std::getenv(var_name.c_str());
+      if (!var) {
+         bts_assert_msgf(
+             !assert_vars_exist, "Environment variable '{}' is undefined",
+             name);
+         continue;
+      }
+      name.replace(from.first, from.second, var);
+      changed = true;
+   }
+   return changed;
+}
+
 std::optional<std::string> try_expand_env(const std::string &name) {
    static const std::regex env_re{R"--(\$\{([^}]+)\})--"};
    std::smatch match;

src/lib/os/os.h

@@ -90,6 +90,9 @@ boost::filesystem::path app_data_path();
 boost::filesystem::path app_data_path(
     const boost::filesystem::path &relative_path, bool mkdirs = true);
 
+std::string expand_env(std::string name, bool assert_vars_exist = true);
+bool expand_env_in_place(std::string &name, bool assert_vars_exist = true);
+
 std::string username();
 std::string find_newest_file(
     const std::string &directory,

src/lib/utils/lazy.h

@@ -0,0 +1,41 @@
+#pragma once
+
+#include <functional>
+#include <memory>
+#include <mutex>
+
+namespace bts::utils {
+
+template <typename T>
+class Lazy {
+ public:
+   template <typename... Args>
+   explicit Lazy(Args &&...args)
+       : create_([=]() mutable { return std::make_unique<T>(args...); }) {}
+
+   T &get() {
+      std::call_once(init_flag_, [this]() { instance_ = create_(); });
+      return *instance_;
+   }
+
+   static Lazy<T> from_delegate(std::function<T()> create);
+
+ private:
+   explicit Lazy(std::function<T()> create)
+       : create_([&, create]() { return std::make_unique<T>(create()); }) {}
+
+   std::once_flag init_flag_;
+   std::function<std::unique_ptr<T>()> create_;
+   std::unique_ptr<T> instance_;
+};
+
+//////////////////////////////////////////////////
+// Definition
+//////////////////////////////////////////////////
+
+template <typename T>
+Lazy<T> Lazy<T>::from_delegate(std::function<T()> create) {
+   return Lazy<T>(create);
+}
+
+} // namespace bts::utils

src/lib_binance_execution/binance_execution/cross_margin/rest_api_client.cpp

@@ -2,6 +2,7 @@
 #include "lib/io/http/http_client.h"
 #include "lib/io/http/http_response.h"
 #include "lib/utils/crypto/hmac.h"
+#include "lib/utils/type_name.h"
 
 namespace binance_execution::cross_margin {
 
@@ -18,16 +19,24 @@ using std::string;
 #define ERROR_FN(fn, ...) _LOG_FN(bts::Error, fn, __VA_ARGS__)
 
 template <std::size_t MAX_SIZE, std::size_t DEFAULT_SIZE>
-static void shrink_string(std::string &str) {
+static void shrink_str(std::string &str, const char *name) {
    if (str.size() > MAX_SIZE) {
+      WARN_FN(
+          "shrink_str",
+          "Shrinking {} buffer size from {} to {} (max resting size is {})",
+          std::string{name}, str.size(), DEFAULT_SIZE, MAX_SIZE);
       str.resize(DEFAULT_SIZE);
       str.shrink_to_fit();
    }
 }
 
 template <class T, std::size_t MAX_SIZE, std::size_t DEFAULT_SIZE>
-static void shrink_vec(std::vector<T> &vec) {
+static void shrink_vec(std::vector<T> &vec, const char *name) {
    if (vec.size() > MAX_SIZE) {
+      WARN_FN(
+          "shrink_vec",
+          "Shrinking {} buffer size from {} to {} (max resting size is {})",
+          std::string{name}, vec.size(), DEFAULT_SIZE, MAX_SIZE);
       vec.resize(DEFAULT_SIZE);
       vec.shrink_to_fit();
    }
@@ -57,7 +66,8 @@ void RestApiClient::request_(
    // Use thread_local vars to reduce memory allocations. Shrink strings
    // to reduce memory footprint from previous requests.
    thread_local bts::http::HttpRequest http_req;
-   shrink_string<4096, 128>(http_req.body);
+   shrink_str<4096, 128>(
+       http_req.body, bts::utils::cached_type_name<RequestT>());
    http_req.reset();
    // Prepare request
    http_req.url = url_;
@@ -66,7 +76,9 @@ void RestApiClient::request_(
    http_req.method = method;
    http_req.headers["X-MBX-APIKEY"] = api_key_;
    thread_local std::string qps;
-   shrink_string<256, 16>(qps);
+   static const std::string query_params_name =
+       fmt::format("{}_params", bts::utils::cached_type_name<RequestT>());
+   shrink_str<256, 16>(qps, query_params_name.c_str());
    qps.clear();
    to_query_params(qps, req);
    if (!qps.empty()) {
@@ -78,7 +90,8 @@ void RestApiClient::request_(
    }
    // Send it
    thread_local HttpResponse http_res;
-   shrink_string<4096, 128>(http_res.body);
+   shrink_str<4096, 128>(
+       http_res.body, bts::utils::cached_type_name<ResponseT>());
    http_res.reset();
    HttpClient::send(http_req, &http_res);
    res.http_code = http_res.code;

src/lib_binance_execution/binance_execution/gateway_config.h

@@ -1,6 +1,7 @@
 #pragma once
 
 #include "lib/io/JsonReader.h"
+#include "lib/os/os.h"
 
 #include <nlohmann/json.hpp>
 #include <string>
@@ -15,6 +16,15 @@ struct GatewayConfig {
    std::string ws_endpoint;
    std::string ws_stream_endpoint;
    bool use_cross_margin_api = false;
+
+   void expand_env() {
+      bts::os::expand_env_in_place(api_key);
+      bts::os::expand_env_in_place(secret_key);
+      bts::os::expand_env_in_place(account);
+      bts::os::expand_env_in_place(rest_endpoint);
+      bts::os::expand_env_in_place(ws_endpoint);
+      bts::os::expand_env_in_place(ws_stream_endpoint);
+   }
 };
 
 inline void to_json(nlohmann::json &j, const GatewayConfig &gw) {

src/lib_binance_execution/binance_execution/listen_key_requestor.cpp

@@ -1,19 +1,31 @@
 #include "listen_key_requestor.h"
 #include "lib/core/TimeStamp.h"
-#include "lib/io/json_formatter.h"
 
+#include <chrono>
 #include <string>
 #include <thread>
 
 namespace binance_execution {
 
+#define _LOG_FN(level, fn, ...)                                                \
+   LOG(OrderMan, level, "ListenKeyRequestor::" fn ". " __VA_ARGS__)
+#define DIAG_FN(fn, ...) _LOG_FN(bts::Diag, fn, __VA_ARGS__)
+#define INFO_FN(fn, ...) _LOG_FN(bts::Info, fn, __VA_ARGS__)
+#define WARN_FN(fn, ...) _LOG_FN(bts::Warn, fn, __VA_ARGS__)
+#define ERROR_FN(fn, ...) _LOG_FN(bts::Error, fn, __VA_ARGS__)
+
 using bts::core::Delegate;
 using bts::core::TimeStamp;
-using bts::io::json_formatter;
 using std::optional;
 using std::string;
 using std::thread;
 
+static bts::core::TimeSpan retry_interval(std::uint32_t n_attempts) {
+   std::int64_t secs = 5 * n_attempts;
+   secs = std::clamp(secs, 5L, 300L);
+   return bts::core::TimeSpan::from_seconds(secs);
+}
+
 struct ListenKeyRequestor::PImpl {
    std::function<RestApiResult<ListenKeyResponse>(const ListenKeyRequest &)>
        get_listen_key;
@@ -42,6 +54,9 @@ struct ListenKeyRequestor::PImpl {
    }
 
    void run() {
+      static constexpr const std::uint32_t MAX_RETRIES = 30;
+      // Counts consecutive failed attempts (resets to 0 on successful request)
+      std::uint32_t retry_count = 0;
       while (is_running) {
          static const auto refresh_period =
              bts::core::TimeSpan::from_seconds(60 * 30);
@@ -49,10 +64,19 @@ struct ListenKeyRequestor::PImpl {
          if (listen_key.empty()) {
             const auto &res = get_listen_key({});
             if (!res.ok()) {
+               bts_assert(retry_count < MAX_RETRIES);
+               retry_count++;
+               const auto sleep_t = retry_interval(retry_count);
+               WARN_FN(
+                   "run",
+                   "get_listen_key request failed ({}). Will retry in {:.2f} "
+                   "secs",
+                   retry_count, sleep_t.total_seconds());
+               std::this_thread::sleep_for(
+                   std::chrono::milliseconds(sleep_t.millis()));
                continue;
             }
-            bts_assert_msgf(
-                res.ok(), "Failed to get listen key. {}", json_formatter(res));
+            retry_count = 0;
             listen_key = res.response->listenKey;
             bts_assert(!listen_key.empty());
             listen_key_timestamp = now;
@@ -60,9 +84,20 @@ struct ListenKeyRequestor::PImpl {
          }
          if ((now - listen_key_timestamp) > refresh_period) {
             const auto &res = refresh_listen_key({listen_key});
-            bts_assert_msgf(
-                res.ok(), "Failed to refresh listen key. {}",
-                json_formatter(res));
+            if (!res.ok()) {
+               bts_assert(retry_count < MAX_RETRIES);
+               retry_count++;
+               const auto sleep_t = retry_interval(retry_count);
+               WARN_FN(
+                   "run",
+                   "refresh_listen_key request failed ({}). Will retry in "
+                   "{:.2f} secs",
+                   retry_count, sleep_t.total_seconds());
+               std::this_thread::sleep_for(
+                   std::chrono::milliseconds(sleep_t.millis()));
+               continue;
+            }
+            retry_count = 0;
             listen_key_timestamp = now;
          }
          std::this_thread::sleep_for(std::chrono::seconds(2));